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Shelton Funds |
(Exact name of registrant as specified in charter) |
1050 17th Street, Suite 1710, Denver, CO 80265 |
(Address of principal executive offices) (Zip code) |
(Name and address of agent for service) |
Annual Report
AUGUST 31, 2016
California Tax-Free Income Fund
U.S. Government Securities Fund
Short-Term U.S. Government Bond Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Shelton Core Value Fund
European Growth & Income Fund
Nasdaq-100 Index Fund
Shelton Green Alpha Fund
(800) 955-9988
www.sheltoncap.com
email us at info@sheltoncap.com
This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of the Shelton Funds (referred to collectively as the “Funds” or individually the “Fund”) which contains information about the management fee and other costs. Investments in shares of the funds of the Shelton Funds are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund, which is designated a Money Market Fund, will be able to maintain a stable net asset value of $1.00 per share.
Table of Contents | August 31, 2016 |
Historical Performance and Manager’s Discussion | 1 |
About Your Fund’s Expenses | 7 |
Top Holdings and Sector Breakdowns | 9 |
Portfolio of Investments | 13 |
Statements of Assets & Liabilities | 30 |
Statements of Operations | 33 |
Statements of Changes in Net Assets | 36 |
Financial Highlights | 41 |
Notes to Financial Statements | 51 |
Report of Independent Registered Public Accounting Firm | 59 |
Fund Holdings | 60 |
Proxy Voting Policies, Procedures and Voting Records | 60 |
Board of Trustees and Executive Officers | 61 |
Historical Performance and Manager’s Discussion (Unaudited) | August 31, 2016 |
Bond Funds
Major themes impacting the bond markets in the last fiscal year were the falling oil prices, which along with slowing growth in China raised concerns of global economic slowdown, the ongoing anticipation of the Fed raising the Fed Funds rate, the United Kingdom’s vote to leave the European Union, aka “Brexit”. The US economy has continued to improve as measured by most economic statistics, but the recovery continues to be anemic, with positive growth but not robust enough to compel the Federal Reserve to tighten Fed Funds rates beyond the 25bp tightening in December 2015.
Interest rates on US Treasuries have remained low, with the yield curve flattening in response to the aforementioned hike in the Fed Funds rate and anticipation of further increases raising the short end of the curve. Fear of global economic slowdown, lack of inflation, and the relatively high yields of US Treasuries as compared to other sovereign debt brought the long end of the curve down. The 10 year US Treasury traded in a range from 1.97-2.34% over the first four months of the fiscal year. Concerns over falling oil prices and slowing global growth resulted in an equity selloff and flight to quality which pushed the 10 year US Treasury yield down from 2.30% in the last week of December to 1.66% in the second week of February. From mid-February through May the yield ranged from 1.69% to 1.98%. The period of June through the first week of July were dominated by the anticipation and results of the Brexit vote, driving the 10 year Treasury yield as low as 1.36% in early July. The yields rebounded slightly and traded in a relatively narrow range of 1.45-1.63% over the remainder of the fiscal year.
The three month T-Bill had a range of -0.03% to 0.35%, ending the fiscal year at .33%. The yield on the two-year note ranged from 0.55% to 1.09%, ending the fiscal year at 0.81%. The five-year note ranged from 0.94% to 1.79%, ending the fiscal year at 1.20%. The 10-year yield ranged from 1.36% to 2.35%, ending the year at 1.58%. The 30-year yield ranged between 2.10% and 3.12%, ending the year at 2.23%.
The U.S. Government Securities Fund ended the fiscal year ended August 31, 2016 with a duration of 5.04 years and total return on the direct shares for the period is 3.25%. All of the securities in the portfolio are backed by the full faith and credit of the United States.
As of the August 31, 2016 fiscal year end, the total return for the Direct Shares of the Short-Term U.S. Government Bond Fund was 0.38%, and it had a duration of 1.75 years. The Fund continues to predominantly hold US Treasury Notes with maturities of less than three years, and all the securities in the portfolio are backed by the full faith and credit of the United States.
The California municipal market bond yields do not necessarily move in lock step with US Treasury yields, but are subject to the shape of the benchmark U.S. Treasury curve, as well as the specific economic circumstances of the State of California as well as those specific to each issuer. California municipal bond investors continue benefit from crossover investors looking for yield and economic conditions in CA are generally strong. Standard & Poor’s, Moody’s and Fitch all maintained their rating on CA GO bonds at AA-, Aa3, and AA- respectively. Live the US Treasury yield curve, the Bloomberg US California Muni yield curve flattened over the course of the year. The difference in yield between the 2 year and 10 year bonds at fiscal year end was at 89 basis points as compared to 188 basis points at the end of the prior fiscal year end.
The California Tax-Free Income Fund’s total return for the fiscal year ended August 31, 2016 was 4.60%, and the duration was 4.58 years at fiscal year end. The portfolio average credit rating is AA.
1
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2016 |
DIRECT SHARES | ||||||
Average Annual Total Returns* | ||||||
for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
California Tax-Free Income Fund | 4.60% | 3.97% | 3.88% | 5.97% | ||
Barclays Municipal Bond Index | 6.88% | 4.80% | 4.87% | 6.52% |
DIRECT SHARES | ||||||
Average Annual Total Returns* | ||||||
for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
U.S. Government Securities Fund | 3.25% | 1.29% | 2.89% | 5.70% | ||
Barclays GNMA Index | 3.72% | 2.38% | 4.70% | 6.73% | ||
Barclays Treasury Index | 5.15% | 2.56% | 4.56% | 6.55% |
K SHARES | ||||||
Average Annual Total Returns* | ||||||
for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
U.S. Government Securities Fund | 2.77% | 0.79% | 2.37% | 2.41% | ||
Barclays GNMA Index | 3.72% | 2.38% | 4.70% | 4.50% | ||
Barclays Treasury Index | 5.15% | 2.56% | 4.56% | 4.10% |
DIRECT SHARES | ||||||
Average Annual Total Returns* | ||||||
for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Short-Term U.S. Government Bond Fund | 0.38% | -0.07% | 1.58% | 2.21% | ||
Barclays 1-3 Yr. Treasury Index | 1.05% | 0.64% | 2.30% | 3.12% |
K SHARES | ||||||
Average Annual Total Returns* | ||||||
for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Short-Term U.S. Government Bond Fund | -0.10% | -0.55% | 1.08% | 1.04% | ||
Barclays 1-3 Yr. Treasury Index | 1.05% | 0.64% | 2.30% | 2.19% |
2
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2016 |
Stock Funds
By definition, the objective for managing the index funds is to match the performance of the funds to their index benchmarks. Each of our index funds tracked their respective benchmarks tightly during this last fiscal year. We measure the index fund performance by using a correlation coefficient. This is a statistical measure that compares the daily performance of a fund against its benchmark index. A measure of 1.000 indicates that the performance is perfectly correlated and a measure of -1.000 implies they are negatively correlated. According to Bloomberg, LLC, The S&P SmallCap Fund and S&P MidCap Index Fund each had a correlation coefficient of 1.000 for the fiscal year. The S&P 500 Index Fund and the Nasdaq-100 Index Fund had a correlation of 0.999.
During the fiscal year, the direct shares of the S&P SmallCap Index Fund out-performed the Direct Shares of the S&P 500 and MidCap Index Fund by posting gains of 12.48%, compared to 12.21% and 11.86%, respectively. It’s important to note, however, that the S&P 500 exhibited more price stability than the other two funds and at one point around mid-February, the MidCap and SmallCap were down over 10%. While the S&P 500 fell during the same sell-off, it was to a lesser extent. Equity markets in the United States have been driven by concerns over market valuations and serious geopolitical challenges that continue to exist from the previous periods, including armed conflict in the Middle East and Europe, the continued weakness in economic growth in China and continued terrorist events throughout the world. Some commodities prices have dropped considerably over the past several years including corn, oil and wheat. Gold has shown strength in 2016 in what we can begin to draw a picture of investor uncertainty about markets. Substantial political uncertainty is easily measured by polls demonstrating favorability of the two leading candidates of President – or in this year’s case unfavorability at -10.0 and -19.8 for Trump and Clinton, respectively. There is also a substantial shift in electoral politics that make the outcome of the election difficult to cast. In the shadow of the recent Brexit, one cannot underestimate the probability of a surprise outcome. Economic policies voiced by both candidates in order to motivate middle and lower-class voters, are viewed by the portfolio manager to be damaging to economic growth and a serious threat to the global economy. One only needs to compare Smoot Hawley to today’s political rhetoric to understand the real economic risk political populism represents. The uncertainty of knowing whether or not they’ll govern consistent with campaign rhetoric is a real concern.
Lastly, the Federal Reserve Bank is widely expected to continue raising short-term interest rates and unwinding the most significant fiscal stimulus policy ever contemplated, except that this was the case last year, as well. Delays are viewed by some as welcome relief and to others as a warning sign of an uncertain hand guiding the economy. Currently, there is open debate among the board about when to raise again and equity markets are selling off or rallying on the lastest best guesses of what will happen next. Historically, a criticism has been leveled the Fed has acted too slow when adjusting rates and there is a real risk that this might be happening again. Investors should expect additional short-term volatility because of changing expectations in what the Fed may do.
On the plus side, unemployment and under-employment have improved considerably. Lower commodities and low inflation has traditionally been good for American families and as they spend less on these necessities, they are able to improve their lives with spending on other goods and services.
Predicting market momentum and relative performance is a guessing game at best. As such, we strongly encourage shareholders to consider a balanced approach for the portion of their portfolios dedicated to stock funds. By this, we mean owning equal balances of each of the three core index funds (S&P 500, MidCap and SmallCap Funds) to achieve a more diversified equity portfolio. Over the past several years, a balanced portfolio like this has outperformed a total market index such as the Wilshire 5000.
The reason for this is that smaller companies’ market caps represent a very small piece of the massive Wilshire 5000. Therefore, their performance does not factor significantly into the total return. Keep in mind, however that during periods where large-cap stocks out-perform their smaller counterparts, this strategy will result in underperformance. So why balance these three sectors in this way? Two reasons: First, at times we need access to our capital. By employing this method, we maintain a degree of flexibility where we can draw from. As an investor, you can reduce holdings from any of the three holdings based on relative valuations. This can prove handy for a number of reasons. Second, history is on our side in that although more volatile, small-cap stocks have returned more to investors over the long haul.
The Nasdaq-100 Index Fund (Direct Shares) finished up 12.46%, versus a benchmark performance of 13.07%. It is important to note that while this index is a popular and widely tracked investment benchmark, it is constructed in a different way than the S&P indices that we track. As of October 2016, Apple Inc. alone made up 10.7% of the index and the top ten holdings accounted for over 50% of the index. It provides investors a strong technology exposure as well as the related volatility.
Our European Growth & Income Fund is managed using ADRs for many of the stocks that make up the Dow Stoxx 50, a European large-cap Index. The Fund uses the weightings of this benchmark as an approximation for weighting of its holdings. The Fund (Direct Shares) was down 3.49% for the year and out- performed its benchmark, which was down 5.14%. This fund generally provides investors a low-cost, efficient tool to diversify internationally. We did not hedge the currency risk during the previous fiscal year and do not plan to do so this year. The Manager does not invest in all members of the benchmark because, in some cases, ADRs are not available or do not provide sufficient liquidity. It is conceivable that the manager may invest in the foreign stocks directly in the future as the fund grows, international custody becomes more economical or the availability of ADRs is insufficient.
The Shelton Core Value Fund is a value fund that focuses on income as well as the potential for capital appreciation. The Direct Shares were up 9.83% for the year. The performance of the fund trailed the U.S. stock market as measured by the S&P 500 Index by 2.71%. The Fund maintained close to 100% exposure to the US equity markets for the first half of the year and began reducing market exposure and writing options during the final two quarters of the fiscal year. This is designed to increase the cash generated by the investments in the portfolio and has the potential to reduce volatility of the fund relative to its benchmark. We have remained bullish on US equities as interest rates have been maintained at near zero levels but at this point, we are concerned about the risks discussed above and have begun reducing the overall exposure and making selections that we believe to have less exposure to overall macro trends. During most of the year, economic conditions remained good for US stocks and we have maintained diversified exposure to most economic sectors. Valuations of the stock markets, as measured by Price/Earnings ratios, increased through from a low point in February through the end of the period. According to Bloomberg, the P/E ratio on the S&P 500 Index at the end of August 2015 was over 20, up from 17.44 at the beginning of the period. While this ratio has risen higher than this level in the past, the message we repeat is that the easy money in the equity markets is behind us, and an important take away here is that a large part of the return in the fund was driven by increases in how the market valued earnings, and not by strong earnings growth or economic strength.
The Fed is looking to normalize interest rates, albeit slowly, and the markets view this move as a head wind for equity valuations. In the opinion of the manager, the perception of the risk is much more substantial than the actual impact of a move from a zero rate policy to rates between 0.5% and 1.5%, as contemplated by some economists.
Our view at the time of writing is that while growth will continue to come slowly, corporations will be profitable, and US equities represent an attractive investment opportunity for investors who are comfortable with the associated risks and volatility. Our political dysfunction, in my opinion, is singularly responsible for the poor economic growth we are seeing in the economy. We will become much more bullish if the political dialog about economic policy improves as we believe this is the simplest, most direct route to economic growth and labor market participation. Capital markets perform best with a strong rule of law governing property rights and minimal incremental government influence.
While we cannot predict what the future holds, we can easily make the case that investors who have continued to invest through troubled markets in the past have been rewarded for their tenacity. We encourage you to maintain a diversified portfolio using both stock and bond funds, in a balance that is appropriate for your particular investment objectives.
3
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2016 |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P 500 Index Fund | 12.21% | 14.38% | 7.33% | 9.10% | ||
S&P 500 Composite Stock Price Index | 12.55% | 15.45% | 7.87% | 9.41% |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P 500 Index Fund | 11.65% | 13.81% | 6.81% | 7.29% | ||
S&P 500 Composite Stock Price Index | 12.55% | 15.45% | 7.87% | 8.29% |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P MidCap Index Fund | 11.86% | 13.59% | 8.72% | 11.64% | ||
S&P MidCap 400 Index | 12.30% | 14.05% | 9.24% | 12.00% |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P MidCap Index Fund | 11.31% | 13.03% | 8.19% | 9.05% | ||
S&P MidCap 400 Index | 12.30% | 14.05% | 9.24% | 10.10% |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P SmallCap Index Fund | 12.48% | 15.11% | 8.41% | 9.38% | ||
S&P SmallCap 600 Index | 13.20% | 15.15% | 8.72% | 10.02% |
4
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2016 |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
S&P SmallCap Index Fund | 11.89% | 14.53% | 7.88% | 9.13% | ||
S&P SmallCap 600 Index | 13.20% | 15.15% | 8.72% | 10.02% |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Shelton Core Value Fund | 9.83% | 12.91% | 7.47% | 7.97% | ||
S&P / Citigroup Value Index | 13.13% | 14.16% | 5.87% | 7.70% | ||
S&P 500 Composite Stock Price Index | 12.55% | 15.45% | 7.87% | 8.39% |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Shelton Core Value Fund | 9.30% | 12.34% | 6.90% | 7.78% | ||
S&P / Citigroup Value Index | 13.13% | 14.16% | 5.87% | 7.52% | ||
S&P 500 Composite Stock Price Index | 12.55% | 15.45% | thu | 8.29% |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
European Growth & Income Fund | -3.49% | 3.56% | 0.46% | 0.85% | ||
Dow Jones STOXX 50 Index (USD) | -5.14% | 3.29% | -0.07% | 0.59% |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since (Annualized) | ||
European Growth & Income Fund | -3.99% | 3.03% | -0.03% | 3.50% | ||
Dow Jones STOXX 50 Index (USD) | -5.14% | 3.29% | -0.07% | 3.95% |
5
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2016 |
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Nasdaq-100 Index Fund | 12.46% | 17.64% | 12.50% | 1.70% | ||
Nasdaq-100 Index | 13.07% | 17.81% | 12.77% | 2.21% |
K SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception (Annualized) | ||
Nasdaq-100 Index Fund | 11.96% | 17.04% | 11.95% | 9.89% | ||
Nasdaq-100 Index | 13.07% | 17.81% | 12.77% | 10.75% |
The Shelton Green Alpha Fund is a diversified mutual fund that seeks to achieve long-term capital appreciation by investing in U.S. common stocks and ADRs in the green or sustainable economy. The Fund invests primarily in stocks of companies that are believed by the Sub-Advisor to be leaders in managing environmental risks and opportunities, have above average growth potential and are reasonably valued relative to their growth potential. For the year ending August 31, 2016 the Shelton Green Alpha Fund’s return was 6.29%, underperforming the 12.55% return of the S&P 500 Index, the Fund’s benchmark. During this period the Fund exhibited higher levels of volatility than the Fund’s benchmark and the Sub Advisor expects this to continue. Although the Fund’s Price to Book (the Fund’s was 1.90 vs. the benchmark’s 2.86) ratio, the Price to Sales (the Fund’s 0.92 vs. the benchmark’s 1.93), and the Price to Earnings (the Fund’s 19.64 vs. the benchmark’s 20.40) ratios compare conservatively, the Price to Cash Flow (the Fund’s 23.48 v. the benchmark’s 11.28) is substantially higher. This indicates, at least in part, that the portfolio pricing reflects expected growth in the individual stocks held in the Fund. At the time of this writing, the Sub Advisor believes that the stocks held by the Fund are reasonably valued in light of their growth prospects.
As of August 31, 2016, the Fund was invested in 54 companies in 9 sectors, representing 22 industry groups, according to the Bloomberg Industry Classification Scheme (BICS). In line with the Fund’s environmental focus, the Fund’s exposure to what portfolio management considers environmental leaders in a number of industries includes solar PV and thin-film, water desalination, waste-to-value building materials, machinery, electric vehicles, mobile communications, machine-to-machine internet, energy efficiency and lighting, natural foods and wind power, among others. It is the Sub Advisor’s belief that environmental responsibility may enhance corporate profitability, which in turn may produce competitive returns.
The Sub Advisor believes that the current equity markets represent attractive investment opportunities for investors seeking equity exposure to the green economy and are comfortable with the associated risks and volatility due to the Fund’s security selection and environmental focus.
DIRECT SHARES Average Annual Total Returns* for the periods ended 8/31/16 | ||||||
Fund/Benchmark | One Year | Five Year (Annualized) | Ten Year (Annualized) | Since Inception** (Annualized) | ||
Shelton Green Alpha Fund | 6.29% | N/A** | N/A** | 11.37% | ||
S&P 500 Composite Stock Price Index | 12.55% | N/A | N/A | 14.41% |
* | Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
** | Shelton Green Alpha Fund commencement of operations was March 12, 2013. |
6
About Your Fund’s Expenses (Unaudited) August 31, 2016 |
Beginning | Ending | Expenses Paid | Net Annual Expense Ratio | |
California Tax-Free Income Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,020 | $ 3.51 | 0.69% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,022 | $ 3.52 | 0.69% |
U.S. Government Securities Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,010 | $ 3.75 | 0.74% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.77 | 0.74% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,009 | $ 6.28 | 1.24% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 6.31 | 1.24% |
Short-Term U.S. Government Bond Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,002 | $ 2.98 | 0.59% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,022 | $ 3.01 | 0.59% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 999 | $ 5.49 | 1.09% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 5.55 | 1.09% |
The United States Treasury Trust | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,000 | $ 1.11 | 0.22% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,024 | $ 1.12 | 0.22% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,000 | $ 1.11 | 0.22% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,024 | $ 1.12 | 0.22% |
S&P 500 Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,133 | $ 1.94 | 0.36% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,023 | $ 1.84 | 0.36% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,131 | $ 4.62 | 0.86% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 4.38 | 0.86% |
S&P MidCap Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,174 | $ 3.18 | 0.58% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,022 | $ 2.96 | 0.58% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,170 | $ 5.91 | 1.08% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 5.50 | 1.08% |
S&P SmallCap Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,185 | $ 4.08 | 0.74% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.77 | 0.74% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,182 | $ 6.82 | 1.24% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 6.31 | 1.24% |
Shelton Core Value Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,112 | $ 4.15 | 0.78% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.97 | 0.78% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,109 | $ 6.80 | 1.28% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 6.51 | 1.28% |
7
About Your Fund’s Expenses (Unaudited) August 31, 2016 (Continued) |
Beginning | Ending | Expenses Paid | Net Annual Expense Ratio | |
European Growth & Income Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,098 | $ 5.29 | 1.00% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 5.09 | 1.00% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,095 | $ 7.92 | 1.50% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,017 | $ 7.63 | 1.50% |
Nasdaq-100 Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,139 | $ 2.64 | 0.49% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,023 | $ 2.50 | 0.49% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,136 | $ 5.33 | 0.99% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 5.04 | 0.99% |
Shelton Green Alpha Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,081 | $ 6.87 | 1.31% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,018 | $ 6.66 | 1.31% |
* | Expenses are equal to the Fund’s expense ratio annualized |
8
Top Holdings and Sector Breakdowns (Unaudited) | August 31, 2016 |
California Tax-Free Income Fund
Security | Description | Market | Percentage of Total Investment | ||
1 | EAST SIDE UNION HIGH SCHOOL DISTRICT | General Obligation Refunding Bonds (2012 Crossover); 2006 | $ 3,777,833 | 4.4% | |
2 | CALIFORNIA STATE PUBLIC WORKS BOARD | Lease Revenue Bonds; 2009 Series I-1 | 3,492,240 | 4.1% | |
3 | RIVERSIDE COUNTY PALM DESERT FINANCING AUTHORITY | Lease Revenue Bonds; 2008 Series A | 3,269,130 | 3.8% | |
4 | STATE OF CALIFORNIA | Tax- Exempt Various Purpose General Obligation Bonds | 3,193,680 | 3.8% | |
5 | LOS RIOS COMMUNITY COLLEGE DISTRICT | General Obligation Bonds; 2008 Election, Series B | 3,046,075 | 3.6% | |
6 | MOUNT SAN ANTONIO COMMUNITY COLLEGE DISTRICT | General Obligation Bonds; Election of 2008, Series 2013A | 2,821,574 | 3.3% | |
7 | CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY | Revenue Bonds (University of Southern California); Series 2009A | 2,726,250 | 3.2% | |
8 | EAST BAY MUNICIPAL UTILITY DISTRICT WATER SYSTEM REVENUE | Water System Revenue Bonds; 2015 Series B | 2,658,727 | 3.1% | |
9 | WILLIAM S HART UNION HIGH SCHOOL DISTRICT | General Obligation Bonds; 2001 Election, Series B | 2,570,460 | 3.0% | |
10 | CITY OF LOS ANGELES CA | General Obligation refunding Bonds; Series 2012-A | 2,398,940 | 2.8% |
U.S. Government Securities Fund
Security | Maturity | Market | Percentage of Total Investment | ||
1 | United States Treasury Note | 8/15/2023 | $ 2,677,979 | 11.0% | |
2 | United States Treasury Note | 11/15/2018 | 2,660,010 | 11.0% | |
3 | United States Treasury Note | 2/15/2022 | 2,492,063 | 10.3% | |
4 | United States Treasury Note | 2/15/2021 | 2,212,734 | 9.1% | |
5 | United States Treasury Note | 3/31/2018 | 2,168,783 | 8.9% | |
6 | United States Treasury Note | 8/15/2020 | 2,117,539 | 8.7% | |
7 | United States Treasury Note | 5/15/2025 | 2,095,039 | 8.6% | |
8 | United States Treasury Note | 2/15/2019 | 1,988,358 | 8.2% | |
9 | United States Treasury Note | 5/15/2038 | 1,878,195 | 7.7% | |
10 | United States Treasury Note | 6/30/2017 | 1,726,373 | 7.1% | |
Short-Term U.S. Government Bond Fund
Security | Maturity | Market | Percentage of Total Investment | ||
1 | United States Treasury Note | 1/31/2019 | $ 1,110,334 | 20.6% | |
2 | United States Treasury Note | 1/31/2018 | 1,102,214 | 20.4% | |
3 | United States Treasury Note | 6/30/2018 | 1,005,840 | 18.7% | |
4 | United States Treasury Note | 7/31/2017 | 710,842 | 13.2% | |
5 | United States Treasury Note | 6/30/2019 | 702,078 | 13.0% | |
6 | United States Treasury Note | 1/31/2017 | 601,162 | 11.1% | |
7 | Government National Mortgage Association | 11/20/2034 | 104,554 | 1.9% | |
8 | Government National Mortgage Association | 6/20/2034 | 55,929 | 1.0% |
9
Top Holdings and Sector Breakdowns (Unaudited) (Continued) | August 31, 2016 |
The United States Treasury Trust
Security | Maturity | Market | Percentage of Total Investment | ||
1 | United States Treasury Bill | 9/15/2016 | $ 20,497,967 | 28.1% | |
2 | United States Treasury Bill | 9/1/2016 | 19,100,000 | 26.2% | |
3 | United States Treasury Bill | 10/13/2016 | 15,593,872 | 21.4% | |
4 | United States Treasury Bill | 1/12/2017 | 6,290,592 | 8.6% | |
5 | United States Treasury Bill | 2/2/2017 | 5,091,145 | 7.0% | |
6 | United States Treasury Bill | 11/3/2016 | 3,798,008 | 5.2% | |
7 | United States Treasury Bill | 9/22/2016 | 1,599,779 | 2.2% | |
8. | United States Treasury Bill | 12/1/2016 | 899,269 | 1.2% |
S&P 500 Index Fund
Security | Market | Percentage of Total Investment | ||
1 | Apple Inc | $ 4,637,630 | 3.3% | |
2 | Microsoft Corp | 3,537,409 | 2.5% | |
3 | Exxon Mobil Corp | 2,742,992 | 1.9% | |
4 | Johnson & Johnson | 2,501,127 | 1.8% | |
5 | General Electric Co | 2,359,525 | 1.7% | |
6 | Amazon.com Inc | 2,152,878 | 1.5% | |
7 | Berkshire Hathaway Inc | 2,030,560 | 1.4% | |
8 | Facebook Inc | 1,986,767 | 1.4% | |
9 | AT&T Inc | 1,883,996 | 1.3% | |
10 | JPMorgan Chase & Co | 1,872,111 | 1.3% |
S&P MidCap Index Fund
Security | Market | Percentage of Total Investment | ||
1 | Mettler-Toledo International Inc | $ 1,101,991 | 0.8% | |
2 | IDEXX Laboratories Inc | 1,029,443 | 0.7% | |
3 | Ingredion Inc | 942,833 | 0.7% | |
4 | WhiteWave Foods Co/The | 925,847 | 0.7% | |
5 | Duke Realty Corp | 920,564 | 0.7% | |
6 | CDK Global Inc | 892,196 | 0.6% | |
7 | ResMed Inc | 890,912 | 0.6% | |
8 | Cooper Cos Inc/The | 889,069 | 0.6% | |
9 | Synopsys Inc | 885,080 | 0.6% | |
10 | Everest Re Group Ltd | 866,535 | 0.6% |
10
Top Holdings and Sector Breakdowns (Unaudited) (Continued) | August 31, 2016 |
S&P SmallCap Index Fund
Security | Market | Percentage of Total Investment | ||
1 | Piedmont Natural Gas Co Inc | $ 400,086 | 0.7% | |
2 | ABIOMED Inc | 386,017 | 0.7% | |
3 | Take-Two Interactive Software Inc | 308,594 | 0.6% | |
4 | PrivateBancorp Inc | 304,694 | 0.6% | |
5 | Medical Properties Trust Inc | 304,682 | 0.6% | |
6 | EMCOR Group Inc | 301,302 | 0.5% | |
7 | Healthcare Realty Trust Inc | 296,012 | 0.5% | |
8 | ViaSat Inc | 280,198 | 0.5% | |
9 | Southwest Gas Corp | 277,465 | 0.5% | |
10 | Cirrus Logic Inc | 271,157 | 0.5% |
Shelton Core Value Fund
Security | Market | Percentage of Total Investment | ||
1 | Ford Motor Co | $ 8,854,020 | 5.5% | |
2 | JPMorgan Chase & Co | 7,183,350 | 4.4% | |
3 | Sprouts Farmers Market Inc | 5,857,800 | 3.6% | |
4 | Chevron Corp | 5,363,328 | 3.3% | |
5 | Wells Fargo & Co | 4,464,761 | 2.8% | |
6 | Anthem Inc | 4,040,084 | 2.5% | |
7 | Goldman Sachs Group Inc/The | 4,024,675 | 2.5% | |
8 | PPG Industries Inc | 3,981,088 | 2.5% | |
9 | Exxon Mobil Corp | 3,767,585 | 2.3% | |
10 | Celgene Corp | 3,758,742 | 2.3% |
European Growth & Income Fund
Security | Market | Percentage of Total Investment | ||
1 | Nestle SA | $ 597,204 | 6.7% | |
2 | Novartis AG | 563,757 | 6.4% | |
3 | Roche Holding AG | 475,480 | 5.4% | |
4 | Anheuser-Busch InBev SA/NV | 458,911 | 5.2% | |
5 | Siemens AG | 446,613 | 5.0% | |
6 | Bayer AG | 440,017 | 5.0% | |
7 | AXA SA | 398,854 | 4.5% | |
8 | British American Tobacco PLC | 384,989 | 4.3% | |
9 | Royal Dutch Shell PLC | 365,821 | 4.1% | |
10 | GlaxoSmithKline PLC | 349,853 | 3.9% |
11
Top Holdings and Sector Breakdowns (Unaudited) (Continued) | August 31, 2016 |
Nasdaq-100 Index Fund
Security | Market | Percentage of Total Investment | ||
1 | Apple Inc | $ 29,697,602 | 9.6% | |
2 | Microsoft Corp | 23,473,558 | 7.6% | |
3 | Amazon.com Inc | 18,281,395 | 5.9% | |
4 | Facebook Inc | 16,751,637 | 5.4% | |
5 | Alphabet Inc - Class K | 13,353,573 | 4.3% | |
6 | Alphabet Inc - Class A | 11,708,736 | 3.8% | |
7 | Intel Corp | 10,385,489 | 3.4% | |
8 | Comcast Corp | 10,121,891 | 3.3% | |
9 | Cisco Systems Inc | 9,691,223 | 3.1% | |
10 | Amgen Inc | 7,834,494 | 2.5% |
Shelton Green Alpha Fund
Security | Market | Percentage of Total Investment | ||
1 | Vestas Wind Systems A/S | $ 1,822,920 | 5.0% | |
2 | Pattern Energy Group Inc | 1,594,600 | 4.4% | |
3 | First Solar Inc | 1,308,572 | 3.6% | |
4 | Applied Materials Inc | 1,283,120 | 3.5% | |
5 | Canadian Solar Inc | 1,250,330 | 3.4% | |
6 | International Business Machines Corp | 1,191,600 | 3.3% | |
7 | Alphabet Inc - Class K | 1,188,928 | 3.3% | |
8 | Trina Solar Ltd | 1,187,630 | 3.3% | |
9 | WhiteWave Foods Co/The | 1,164,030 | 3.2% | |
10 | United Natural Foods Inc | 1,003,200 | 2.8% |
12
California Tax-Free Income Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Par Value | Rate | Maturity | Value | |||||||||
Municipal Bonds (99.41%) | |||||||||||||
CALIFORNIA DEPARTMENT OF PUBLIC WORKS BOARD | |||||||||||||
Lease Revenue Bonds; 2009 Series I-1 | $ | 3,000,000 | 6.125 | % | 11/1/2029 | $ | 3,492,239 | ||||||
CALIFORNIA DEPARTMENT OF WATER RESOURCES | |||||||||||||
Power Supply Revenue Bonds; Series 2010L | 1,000,000 | 5.000 | % | 5/1/2019 | 1,114,780 | ||||||||
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY | |||||||||||||
Revenue Bonds (University of Southern California); Series 2009A | 2,500,000 | 5.250 | % | 10/1/2038 | 2,726,249 | ||||||||
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY | |||||||||||||
Revenue Bonds (St. Joseph Health System); Series 2013C | 1,000,000 | 5.000 | % | 7/1/2043 | 1,126,370 | ||||||||
CALIFORNIA STATE UNIVERSITY, TRUSTEES OF THE | |||||||||||||
Systemwide Revenue Bonds; Series 2012A | 1,100,000 | 4.000 | % | 11/1/2030 | 1,245,123 | ||||||||
CALIFORNIA, STATE OF | |||||||||||||
Tax-Exempt Various Purpose General Obligation Bonds | 3,000,000 | 5.000 | % | 4/1/2038 | 3,193,680 | ||||||||
CALIFORNIA ST INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK | |||||||||||||
California Infrustructure and Econ Dev Bank Revenue | 1,200,000 | 5.000 | % | 10/1/2033 | 1,527,696 | ||||||||
CAMPBELL UNION HIGH SCHOOL DISTRICT | |||||||||||||
General Obligation Refunding Bonds; 2009 | 2,000,000 | 5.000 | % | 8/1/2030 | 2,246,060 | ||||||||
EAST BAY MUNICIPAL UTILITY DISTRICT | |||||||||||||
Water System Revenue Bonds; 2015 Series B | 2,050,000 | 5.000 | % | 6/1/2026 | 2,658,727 | ||||||||
EAST SIDE UNION HIGH SCHOOL DISTRICT | |||||||||||||
General Obligation Refunding Bonds (2012 Crossover); 2006 | 2,975,000 | 5.250 | % | 9/1/2023 | 3,777,833 | ||||||||
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT | |||||||||||||
Election of 1999 General Obligation Bonds; Series C | 2,000,000 | 0.000 | % | 8/1/2027 | 1,568,760 | ||||||||
LA MIRADA REDEVELOPMENT AGENCY, SUCCESSOR AGENCY TO THE | |||||||||||||
Subordinate Tax Allocation Refunding Bonds; 2014 Series A | 1,000,000 | 5.000 | % | 8/15/2023 | 1,237,340 | ||||||||
LOS ANGELES COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Bonds; 2008 Election, Series G | 865,000 | 5.000 | % | 8/1/2028 | 1,092,755 | ||||||||
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY | |||||||||||||
Proposition A First Tier Senior Sales Tax Revenue Refunding Bonds; Series 2012-A | 1,000,000 | 5.000 | % | 7/1/2021 | 1,198,690 | ||||||||
Proposition C Sales Tax Revenue Refunding Bonds; Senior Bonds; Series 2013-A | 1,500,000 | 5.000 | % | 7/1/2023 | 1,879,950 | ||||||||
Propositin A First Tier Los Angeles County Met Transport | 500,000 | 4.000 | % | 7/1/2028 | 592,910 | ||||||||
LOS ANGELES DEPARTMENT OF WATER AND POWER | |||||||||||||
Power System Revenue Bonds; 2011 Series A | 1,500,000 | 5.000 | % | 7/1/2018 | 1,620,375 | ||||||||
Power System Revenue Bonds; 2013 Series A | 500,000 | 5.000 | % | 7/1/2017 | 518,585 | ||||||||
Water System Revenue Bonds; 2012 Series A | 1,985,000 | 5.000 | % | 7/1/2037 | 2,360,979 | ||||||||
LOS ANGELES, CITY OF | |||||||||||||
General Obligation Refunding Bonds; Series 2012-A | 2,000,000 | 5.000 | % | 9/1/2021 | 2,398,940 | ||||||||
LOS ANGELES CA WSTWTR SYS REVE | |||||||||||||
Los Angeles CA Wstwter System Revenue Bond | 500,000 | 5.000 | % | 6/1/2044 | 615,165 | ||||||||
LOS ANGELES, HARBOR DEPARTMENT OF THE CITY OF | |||||||||||||
Revenue Bonds; 2014 Series C | 290,000 | 4.000 | % | 8/1/2023 | 342,371 | ||||||||
LOS RIOS COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Bonds; 2008 Election, Series B | 2,500,000 | 5.000 | % | 8/1/2032 | 3,046,075 | ||||||||
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA | |||||||||||||
Water Revenue Bonds; 2008 Authorization, Series C | 1,000,000 | 5.000 | % | 7/1/2035 | 1,115,360 | ||||||||
MT. DIABLO UNIFIED SCHOOL DISTRICT | |||||||||||||
General Obligation Refunding Bonds; Election Of 2002, Series B | 500,000 | 5.000 | % | 7/1/2020 | 576,995 | ||||||||
MT. SAN ANTONIO COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Bonds; Election of 2008, Series 2013A | 2,345,000 | 5.000 | % | 8/1/2034 | 2,821,574 | ||||||||
PASADENA ELECTRIC REVENUE | |||||||||||||
Electric Revenue Refunding Bonds; Series 2010A | 1,205,000 | 4.000 | % | 6/1/2020 | 1,341,924 | ||||||||
PERALTA COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Refunding Bonds; 2012 | 1,000,000 | 5.000 | % | 8/1/2018 | 1,083,710 | ||||||||
RANCHO SANTIAGO COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Refunding Bonds; 2012 | 1,380,000 | 4.000 | % | 9/1/2020 | 1,553,494 | ||||||||
REGENTS OF THE UNIVERSITY OF CALIFORNIA | |||||||||||||
General Revenue Bonds; 2014 Series AM | 925,000 | 5.000 | % | 5/15/2029 | 1,154,770 | ||||||||
Regents of the University of California 0.2% | 1,900,000 | 0.450 | % | 5/15/2032 | 1,900,000 | ||||||||
RIVERSIDE COUNTY PALM DESERT FINANCING AUTHORITY | |||||||||||||
Lease Revenue Bonds; 2008 Series A | 3,000,000 | 6.000 | % | 5/1/2022 | 3,269,130 | ||||||||
ROSEVILLE FINANCE AUTHORITY | |||||||||||||
Electric System Revenue Refunding Bonds; Series 2013 | 750,000 | 5.000 | % | 2/1/2025 | 909,458 | ||||||||
ROSEVILLE NATURAL GAS FINANCING AUTHORITY | |||||||||||||
Gas Revenue Bonds; Series 2007 | 1,000,000 | 5.000 | % | 2/15/2024 | 1,183,690 |
See accompanying notes to financial statements.
13
California Tax-Free Income Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Par Value | Rate | Maturity | Value | |||||||||
SACRAMENTO CITY FINANCING AUTHORITY | |||||||||||||
Capital Improvement Revenue Bonds; 2006 Series A | $ | 2,000,000 | 5.000 | % | 12/1/2036 | $ | 2,021,620 | ||||||
SACRAMENTO MUNICIPAL UTILITY DISTRICT | |||||||||||||
Electric Revenue Bonds; 1997 Series K | 1,000,000 | 5.250 | % | 7/1/2024 | 1,244,070 | ||||||||
SADDLEBACK VALLEY UNIFIED SCHOOL DISTRICT PUBLIC FINANCING AUTHORITY | |||||||||||||
Special Tax Revenue Bonds; 1996 Series A | 1,575,000 | 6.000 | % | 9/1/2016 | 1,575,000 | ||||||||
SAN DIEGO COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Bonds; Election of 2002, Series 2013 | 1,175,000 | 5.000 | % | 8/1/2027 | 1,460,243 | ||||||||
SAN FRANCISCO, CITY AND COUNTY | |||||||||||||
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A | 1,000,000 | 4.000 | % | 6/15/2033 | 1,101,170 | ||||||||
Second Series Revenue Refunding Bonds; Series 2010C-E | 500,000 | 5.000 | % | 5/1/2020 | 575,055 | ||||||||
SAN FRANCISCO, PUBLIC UTILITIES COMMISSION OF THE CITY AND COUNTY OF | |||||||||||||
Whitewater Revenue Bonds, 2013 Series A | 700,000 | 4.000 | % | 10/1/2021 | 806,169 | ||||||||
San Francisco City & County Public Utilities | 1,170,000 | 5.000 | % | 11/1/2036 | 1,427,833 | ||||||||
San Francisco City and Green Bond Series A | 680,000 | 5.000 | % | 11/1/2030 | 852,380 | ||||||||
SANTA ANA UNIFIED SCHOOL DISTRICT | |||||||||||||
Certificates of Participation; 2007 | 2,000,000 | 5.250 | % | 4/1/2037 | 2,044,880 | ||||||||
SANTA CLARA COUNTY FINANCING AUTHORITY | |||||||||||||
Lease Revenue Bonds; 2008 Series A | 2,065,000 | 5.000 | % | 11/15/2016 | 2,082,842 | ||||||||
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY | |||||||||||||
2000 Measure A Sales Tax Revenue Refunding Bonds; 2015 Series A | 1,000,000 | 5.000 | % | 4/1/2034 | 1,253,050 | ||||||||
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT | |||||||||||||
General Obligation Bonds; Election of 2004, Series 2005 | 2,500,000 | 0.000 | % | 8/1/2029 | 1,764,200 | ||||||||
SONOMA COUNTY JUNIOR COLLEGE DISTRICT | |||||||||||||
Unrefunded; Election 2002 Series B | 220,000 | 5.000 | % | 8/1/2027 | 220,678 | ||||||||
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY | |||||||||||||
Windy Point/Windy Flats Project Revenue Bonds; 2010-1 | 1,000,000 | 5.000 | % | 7/1/2023 | 1,151,140 | ||||||||
Souther California Public Power Authority Windy Pt/Windy Flats Project 1 | 1,400,000 | 5.000 | % | 7/1/2026 | 1,609,328 | ||||||||
WEST VALLEY-MISSION COMMUNITY COLLEGE DISTRICT | |||||||||||||
General Obligation Bonds; Election of 2004, 2006 Series A (Non-Refunded) | 320,000 | 5.000 | % | 8/1/2030 | 320,938 | ||||||||
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT | |||||||||||||
General Obligation Bonds; 2001 Election, Series B | 3,595,000 | 0.000 | % | 9/1/2029 | 2,570,461 | ||||||||
YUBA COUNTY LEVEE FINANCING AUTHORITY | |||||||||||||
Revenue Bonds; 2008 Series A | 1,305,000 | 5.000 | % | 9/1/2038 | 1,352,280 | ||||||||
Total Municipal Bonds (Cost $76,436,495) | 83,925,094 | ||||||||||||
Variable Rate Demand Notes* (1.18%) | |||||||||||||
Assessment District No. 94-13 Limited Obligation Improvement Bonds; Adjustable Rate Series | 500,000 | 0.520 | % | 9/1/2016 | 500,000 | ||||||||
Irvine CA Impt Bond ACT 1915 Adj Assmt Dist No 97 | 300,000 | 0.520 | % | 9/1/2016 | 300,000 | ||||||||
Irvine Impt ASM-18-A | 200,000 | 0.520 | % | 9/1/2016 | 200,000 | ||||||||
Total Variable Rate Demand Notes (Cost $2,425,000) | 1,000,000 | ||||||||||||
Total Investments (Cost $78,861,495) (a) (100.60%) | $ | 84,925,094 | |||||||||||
Liabilities in Excess of Other Assets (-0.60%) | (502,703 | ) | |||||||||||
Net Assets (100.00%) | $ | 84,422,391 | |||||||||||
(a) Aggregate cost for federal income tax purposes is $78,818,267.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: | |||||||||||||
Unrealized appreciation | $ | 6,196,852 | |||||||||||
Unrealized depreciation | (90,025 | ) | |||||||||||
Net unrealized appreciation | $ | 6,106,827 | |||||||||||
* Stated maturity reflects next reset date. |
See accompanying notes to financial statements.
14
U.S. Government Securities Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Par Value | Rate | Maturity | Value | |||||||||
Government National Mortgage Association (7.39%) | |||||||||||||
$ | 671,288 | 3.500 | % | 11/20/2044 | $ | 712,863 | |||||||
2,687 | 10.000 | % | 9/15/2018 | 2,733 | |||||||||
49,667 | 5.500 | % | 1/15/2025 | 55,967 | |||||||||
287,679 | 5.500 | % | 4/15/2036 | 326,125 | |||||||||
94,629 | 5.000 | % | 7/15/2020 | 99,776 | |||||||||
167,715 | 6.000 | % | 1/1/2026 | 191,783 | |||||||||
253,647 | 5.000 | % | 3/15/2038 | 283,870 | |||||||||
117,226 | 6.000 | % | 6/15/2038 | 134,049 | |||||||||
Total Government National Mortgage Association (Cost $1,672,555) | 1,807,166 | ||||||||||||
United States Treasury Notes (84.13%) | |||||||||||||
2,500,000 | 3.750 | % | 11/15/2018 | 2,660,010 | |||||||||
400,000 | 2.75 | % | 8/15/2042 | 445,000 | |||||||||
1,900,000 | 2.750 | % | 2/15/2019 | 1,988,358 | |||||||||
1,700,000 | 2.500 | % | 6/30/2017 | 1,726,373 | |||||||||
2,000,000 | 2.625 | % | 8/15/2020 | 2,117,539 | |||||||||
2,000,000 | 3.625 | % | 2/15/2021 | 2,212,734 | |||||||||
2,100,000 | 2.875 | % | 3/31/2018 | 2,168,783 | |||||||||
2,400,000 | 2.000 | % | 2/15/2022 | 2,492,063 | |||||||||
2,500,000 | 2.500 | % | 8/15/2023 | 2,677,979 | |||||||||
2,000,000 | 2.125 | % | 5/15/2025 | 2,095,039 | |||||||||
Total United States Treasury Notes (Cost $20,047,815) | 20,583,878 | ||||||||||||
United States Treasury Bonds (7.68%) | |||||||||||||
1,300,000 | 4.500 | % | 5/15/2038 | 1,878,195 | |||||||||
Total United States Treasury Bonds (Cost $1,543,419) | 1,878,195 | ||||||||||||
Total Investments (Cost $23,263,789) (a) (99.20%) | 24,269,239 | ||||||||||||
Other Net Assets (0.80%) | 196,684 | ||||||||||||
Net Assets (100.00%) | $ | 24,465,923 | |||||||||||
(a) Aggregate cost for federal income tax purposes is $23,263,789.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows | |||||||||||||
Unrealized appreciation | $ | 1,006,900 | |||||||||||
Unrealized depreciation | (1,450 | ) | |||||||||||
Net unrealized appreciation | $ | 1,005,450 |
See accompanying notes to financial statements.
15
Short-Term U.S. Government Bond Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Par Value | Rate | Maturity | Value | |||||||||
Government National Mortgage Association (2.93%) | |||||||||||||
$ | 53,633 | 2.250 | % | 6/20/2034 | $ | 55,929 | |||||||
101,397 | 1.625 | % | 11/20/2034 | 104,554 | |||||||||
Total Government National Mortgage Association (Cost $155,820) | 160,483 | ||||||||||||
United States Treasury Notes (95.52%) | |||||||||||||
700,000 | 2.375 | % | 7/31/2017 | 710,842 | |||||||||
700,000 | 1.000 | % | 6/30/2019 | 702,078 | |||||||||
600,000 | 0.875 | % | 1/31/2017 | 601,162 | |||||||||
1,100,000 | 1.250 | % | 1/31/2019 | 1,110,334 | |||||||||
1,100,000 | 0.875 | % | 1/31/2018 | 1,102,214 | |||||||||
1,000,000 | 1.125 | % | 6/15/2018 | 1,005,840 | |||||||||
Total United States Treasury Notes (Cost $5,220,933) | 5,232,470 | ||||||||||||
Total Investments (Cost $5,376,753) (a) (98.45%) | 5,392,953 | ||||||||||||
Other Net Assets (1.55%) | 85,182 | ||||||||||||
Net Assets (100.00%) | $ | 5,478,135 | |||||||||||
(a) Aggregate cost for federal income tax purposes is $5,376,753.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows | |||||||||||||
Unrealized appreciation | $ | 19,642 | |||||||||||
Unrealized depreciation | (3,442 | ) | |||||||||||
Net unrealized appreciation | $ | 16,200 |
The United States Treasury Trust | Portfolio of Investments | 8/31/2016 |
Security Description | Par Value | Maturity | Value | ||||||
United States Treasury Bills, DN (b) (97.22%) | |||||||||
$ | 20,500,000 | 9/15/2016 | $ | 20,497,967 | |||||
15,600,000 | 10/13/2016 | 15,593,871 | |||||||
5,100,000 | 2/2/2017 | 5,091,145 | |||||||
19,100,000 | 9/1/2016 | 19,100,000 | |||||||
1,600,000 | 9/22/2016 | 1,599,779 | |||||||
3,800,000 | 11/3/2016 | 3,798,008 | |||||||
900,000 | 12/1/2016 | 899,269 | |||||||
6,300,000 | 1/12/2017 | 6,290,592 | |||||||
Total United States Treasury Bills, DN (Cost $72,870,631) | 72,870,631 | ||||||||
Total Investments (Cost $72,870,631) (a) (97.22%) | $ | 72,870,631 | |||||||
Other Net Assets (2.78%) | 2,081,636 | ||||||||
Net Assets (100.00%) | $ | 74,952,267 | |||||||
(a) Aggregate cost for federal income tax purposes is $72,870,631. | |||||||||
Because tax adjustments are calculated annually, the above tax figure reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. | |||||||||
(b) Discount Note. Yield to maturity is between 0.22% - 0.41%. |
See accompanying notes to financial statements.
16
S&P 500 Index Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (98.60%) | ||||||||
Basic Materials (2.38%) | ||||||||
Air Products & Chemicals Inc | 1,615 | $ | 251,326 | |||||
Alcoa Inc | 7,435 | 74,945 | ||||||
CF Industries Holdings Inc | 1,795 | 46,670 | ||||||
Dow Chemical Co/The | 6,895 | 369,848 | ||||||
Eastman Chemical Co | 1,048 | 71,149 | ||||||
EI du Pont de Nemours & Co | 6,896 | 479,962 | ||||||
FMC Corp | 1,102 | 51,728 | ||||||
Freeport-McMoRan Inc | 6,887 | 70,867 | ||||||
Ingevity Corp* | 166 | 7,367 | ||||||
International Flavors & Fragrances Inc | 683 | 94,650 | ||||||
International Paper Co | 3,175 | 153,956 | ||||||
LyondellBasell Industries NV | 2,971 | 234,382 | ||||||
Monsanto Co | 3,626 | 386,169 | ||||||
Mosaic Co/The | 2,068 | 62,185 | ||||||
Newmont Mining Corp | 3,766 | 144,012 | ||||||
Nucor Corp | 2,404 | 116,618 | ||||||
Olin Corp | 4,701 | 101,730 | ||||||
PPG Industries Inc | 2,102 | 222,560 | ||||||
Praxair Inc | 2,168 | 264,583 | ||||||
Sherwin-Williams Co/The | 628 | 178,170 | ||||||
United States Steel Corp | 1,093 | 21,248 | ||||||
Total Basic Materials | 3,404,125 | |||||||
Communications (12.72%) | ||||||||
Alphabet Inc* | 2,080 | 1,642,888 | ||||||
Alphabet Inc* | 2,085 | 1,599,299 | ||||||
Amazon.com Inc* | 2,799 | 2,152,878 | ||||||
AT&T Inc | 46,086 | 1,883,996 | ||||||
CBS Corp | 3,433 | 175,186 | ||||||
CenturyLink Inc | 4,581 | 127,352 | ||||||
Cisco Systems Inc | 39,132 | 1,230,310 | ||||||
Comcast Corp | 19,068 | 1,244,378 | ||||||
Discovery Communications Inc* | 1,878 | 46,612 | ||||||
Discovery Communications Inc* | 1,878 | 47,908 | ||||||
eBay Inc* | 8,321 | 267,603 | ||||||
Expedia Inc | 689 | 75,184 | ||||||
F5 Networks Inc* | 602 | 73,883 | ||||||
Facebook Inc* | 15,753 | 1,986,767 | ||||||
Frontier Communications Corp | 7,522 | 34,601 | ||||||
Interpublic Group of Cos Inc/The | 3,241 | 74,997 | ||||||
Juniper Networks Inc | 2,718 | 62,731 | ||||||
Level 3 Communications Inc* | 2,152 | 106,804 | ||||||
Motorola Solutions Inc | 1,430 | 110,096 | ||||||
Netflix Inc* | 2,891 | 281,728 | ||||||
News Corp | 3,745 | 52,655 | ||||||
Omnicom Group Inc | 1,982 | 170,710 | ||||||
Priceline Group Inc/The* | 361 | 511,440 | ||||||
Scripps Networks Interactive Inc | 635 | 40,240 | ||||||
Symantec Corp | 5,172 | 124,800 | ||||||
TEGNA Inc | 1,702 | 34,483 | ||||||
Time Warner Inc | 6,232 | 488,651 | ||||||
TripAdvisor Inc* | 850 | 51,850 | ||||||
Twenty-First Century Fox Inc | 13,721 | 336,713 | ||||||
VeriSign Inc* | 1,159 | 86,288 | ||||||
Verizon Communications Inc | 31,159 | 1,630,550 | ||||||
Viacom Inc | 2,740 | 110,532 | ||||||
Walt Disney Co/The | 11,733 | 1,108,299 | ||||||
Yahoo! Inc* | 6,533 | 279,286 | ||||||
Total Communications | 18,251,698 | |||||||
Consumer, Cyclical (9.80%) | ||||||||
Advance Auto Parts Inc | 548 | $ | 86,244 | |||||
American Airlines Group Inc | 5,382 | 195,367 | ||||||
AutoNation Inc* | 284 | 13,447 | ||||||
AutoZone Inc* | 275 | 203,995 | ||||||
Bed Bath & Beyond Inc | 1,720 | 79,756 | ||||||
Best Buy Co Inc | 1,956 | 75,267 | ||||||
BorgWarner Inc | 1,664 | 57,225 | ||||||
CarMax Inc* | 1,689 | 99,567 | ||||||
Carnival Corp | 3,334 | 159,365 | ||||||
Chipotle Mexican Grill Inc* | 234 | 96,813 | ||||||
Coach Inc | 2,156 | 82,316 | ||||||
Costco Wholesale Corp | 3,160 | 512,204 | ||||||
CVS Health Corp | 8,444 | 788,670 | ||||||
Darden Restaurants Inc | 933 | 57,510 | ||||||
Delphi Automotive PLC | 2,173 | 153,544 | ||||||
Delta Air Lines Inc | 6,380 | 234,465 | ||||||
Dollar General Corp | 1,932 | 141,828 | ||||||
Dollar Tree Inc* | 1,907 | 157,709 | ||||||
DR Horton Inc | 2,495 | 79,990 | ||||||
Fastenal Co | 2,014 | 86,824 | ||||||
Ford Motor Co | 27,615 | 347,949 | ||||||
Fossil Group Inc* | 377 | 10,767 | ||||||
GameStop Corp | 908 | 25,778 | ||||||
Gap Inc/The | 2,194 | 54,565 | ||||||
General Motors Co | 10,151 | 324,020 | ||||||
Genuine Parts Co | 1,170 | 120,299 | ||||||
Goodyear Tire & Rubber Co/The | 1,847 | 54,209 | ||||||
Hanesbrands Inc | 3,007 | 79,806 | ||||||
Harley-Davidson Inc | 1,765 | 93,016 | ||||||
Harman International Industries Inc | 529 | 44,801 | ||||||
Hasbro Inc | 950 | 77,653 | ||||||
Home Depot Inc/The | 9,889 | 1,326,313 | ||||||
Interval Leisure Group Inc | 614 | 10,684 | ||||||
Kohl's Corp | 1,587 | 70,431 | ||||||
L Brands Inc | 1,787 | 136,187 | ||||||
Leggett & Platt Inc | 1,017 | 53,372 | ||||||
Lennar Corp | 1,300 | 61,490 | ||||||
Lowe's Cos Inc | 7,300 | 558,888 | ||||||
Macy's Inc | 2,961 | 107,129 | ||||||
Marriott International Inc/MD | 1,935 | 138,024 | ||||||
Mattel Inc | 2,508 | 83,090 | ||||||
McDonald's Corp | 7,400 | 855,884 | ||||||
Michael Kors Holdings Ltd* | 1,328 | 65,006 | ||||||
Mohawk Industries Inc* | 459 | 97,666 | ||||||
Newell Brands Inc | 2,365 | 125,534 | ||||||
NIKE Inc | 10,668 | 614,904 | ||||||
Nordstrom Inc | 1,123 | 56,667 | ||||||
O'Reilly Automotive Inc* | 874 | 244,676 | ||||||
PACCAR Inc | 2,601 | 155,644 | ||||||
PulteGroup Inc | 2,804 | 59,921 | ||||||
PVH Corp | 574 | 61,854 | ||||||
Ralph Lauren Corp | 449 | 46,525 | ||||||
Ross Stores Inc | 3,322 | 206,761 | ||||||
Royal Caribbean Cruises Ltd | 1,236 | 87,892 | ||||||
Signet Jewelers Ltd | 600 | 49,188 | ||||||
Southwest Airlines Co | 5,662 | 208,815 | ||||||
Staples Inc | 5,524 | 47,285 | ||||||
Starbucks Corp | 10,948 | 615,606 | ||||||
Starwood Hotels & Resorts Worldwide Inc | 1,427 | 110,535 | ||||||
Target Corp | 4,818 | 338,175 | ||||||
Tiffany & Co | 950 | 67,802 | ||||||
TJX Cos Inc/The | 5,416 | 419,415 | ||||||
Tractor Supply Co | 1,050 | 88,148 | ||||||
Under Armour Inc* | 1,210 | $ | 47,952 | |||||
Under Armour Inc* | 1,218 | 43,422 | ||||||
Urban Outfitters Inc* | 803 | 28,788 | ||||||
VF Corp | 2,588 | 160,585 | ||||||
Walgreens Boots Alliance Inc | 6,346 | 512,186 | ||||||
Wal-Mart Stores Inc | 11,851 | 846,635 | ||||||
Whirlpool Corp | 570 | 101,825 | ||||||
WW Grainger Inc | 441 | 101,721 | ||||||
Wyndham Worldwide Corp | 1,139 | 80,630 | ||||||
Wynn Resorts Ltd | 526 | 46,982 | ||||||
Yum! Brands Inc | 3,354 | 304,241 | ||||||
Total Consumer, Cyclical | 14,039,447 | |||||||
Consumer, Non-Cyclical (23.77%) | ||||||||
Abbott Laboratories | 11,424 | 480,036 | ||||||
AbbVie Inc | 11,424 | 732,278 | ||||||
Aetna Inc | 2,841 | 332,738 | ||||||
Alexion Pharmaceuticals Inc* | 1,383 | 174,064 | ||||||
Allergan plc* | 2,930 | 687,202 | ||||||
Altria Group Inc | 14,863 | 982,296 | ||||||
AmerisourceBergen Corp | 1,565 | 136,108 | ||||||
Amgen Inc | 5,671 | 964,410 | ||||||
Anthem Inc | 2,002 | 250,410 | ||||||
Archer-Daniels-Midland Co | 4,902 | 214,512 | ||||||
Automatic Data Processing Inc | 3,564 | 320,083 | ||||||
Avery Dennison Corp | 891 | 68,999 | ||||||
Baxter International Inc | 3,880 | 181,312 | ||||||
Becton Dickinson and Co | 1,588 | 281,409 | ||||||
Biogen Inc* | 1,739 | 531,491 | ||||||
Boston Scientific Corp* | 11,526 | 274,549 | ||||||
Bristol-Myers Squibb Co | 12,265 | 703,888 | ||||||
Brown-Forman Corp | 2,162 | 104,965 | ||||||
Campbell Soup Co | 1,449 | 87,983 | ||||||
Cardinal Health Inc | 2,511 | 200,051 | ||||||
Celgene Corp* | 6,007 | 641,187 | ||||||
Cigna Corp | 2,081 | 266,909 | ||||||
Cintas Corp | 801 | 94,126 | ||||||
Clorox Co/The | 943 | 123,571 | ||||||
Coca-Cola Co/The | 28,487 | 1,237,190 | ||||||
Coca-Cola European Partners PLC | 2,036 | 78,284 | ||||||
Colgate-Palmolive Co | 6,558 | 487,522 | ||||||
ConAgra Foods Inc | 2,987 | 139,224 | ||||||
Constellation Brands Inc | 1,083 | 177,666 | ||||||
CR Bard Inc | 610 | 134,712 | ||||||
Danaher Corp | 4,166 | 339,154 | ||||||
DaVita Inc* | 1,224 | 79,107 | ||||||
DENTSPLY SIRONA Inc | 1,160 | 71,294 | ||||||
Dr Pepper Snapple Group Inc | 1,620 | 151,794 | ||||||
Ecolab Inc | 1,937 | 238,348 | ||||||
Edwards Lifesciences Corp* | 1,716 | 197,615 | ||||||
Eli Lilly & Co | 7,419 | 576,827 | ||||||
Endo International PLC* | 1,332 | 27,572 | ||||||
Equifax Inc | 870 | 114,753 | ||||||
Estee Lauder Cos Inc/The | 1,800 | 160,614 | ||||||
Express Scripts Holding Co* | 5,454 | 396,506 | ||||||
General Mills Inc | 4,683 | 331,650 | ||||||
Gilead Sciences Inc | 11,004 | 862,494 | ||||||
H&R Block Inc | 1,994 | 43,190 | ||||||
HCA Holdings Inc* | 2,209 | 166,890 | ||||||
Henry Schein Inc* | 628 | 102,860 | ||||||
Hershey Co/The | 1,114 | 111,277 | ||||||
Hormel Foods Corp | 2,128 | 81,417 | ||||||
Humana Inc | 1,191 | 212,844 | ||||||
Intuitive Surgical Inc* | 285 | 195,630 | ||||||
JM Smucker Co/The | 823 | 116,693 |
See accompanying notes to financial statements.
17
S&P 500 Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Johnson & Johnson | 20,958 | $ | 2,501,127 | |||||
Kellogg Co | 1,816 | 149,293 | ||||||
Kimberly-Clark Corp | 2,926 | 374,704 | ||||||
Kraft Heinz Co/The | 4,282 | 383,196 | ||||||
Kroger Co/The | 8,014 | 256,368 | ||||||
Laboratory Corp of America Holdings* | 705 | 96,536 | ||||||
Mallinckrodt PLC* | 874 | 65,148 | ||||||
McCormick & Co Inc/MD | 975 | 99,411 | ||||||
McKesson Corp | 1,736 | 320,500 | ||||||
Mead Johnson Nutrition Co | 1,560 | 132,709 | ||||||
Medtronic PLC | 10,936 | 951,760 | ||||||
Merck & Co Inc | 21,298 | 1,337,301 | ||||||
Molson Coors Brewing Co | 1,200 | 122,784 | ||||||
Mondelez International Inc | 12,847 | 578,372 | ||||||
Monster Beverage Corp* | 1,129 | 173,742 | ||||||
Moody's Corp | 1,498 | 162,818 | ||||||
Mylan NV* | 3,101 | 131,358 | ||||||
Nielsen Holdings PLC | 1,879 | 100,113 | ||||||
Patterson Cos Inc | 758 | 34,868 | ||||||
PayPal Holdings Inc* | 8,321 | 309,125 | ||||||
PepsiCo Inc | 11,411 | 1,218,124 | ||||||
Perrigo Co PLC | 677 | 61,600 | ||||||
Pfizer Inc | 45,992 | 1,600,522 | ||||||
Philip Morris International Inc | 11,608 | 1,159,987 | ||||||
Procter & Gamble Co/The | 20,266 | 1,769,424 | ||||||
Quanta Services Inc* | 1,601 | 41,194 | ||||||
Quest Diagnostics Inc | 1,168 | 96,734 | ||||||
Regeneron Pharmaceuticals Inc* | 562 | 220,613 | ||||||
Reynolds American Inc | 6,726 | 333,408 | ||||||
Robert Half International Inc | 1,032 | 39,557 | ||||||
S&P Global Inc | 2,019 | 249,427 | ||||||
Shire PLC | 621 | 116,239 | ||||||
St Jude Medical Inc | 2,310 | 179,995 | ||||||
Stryker Corp | 2,155 | 249,247 | ||||||
Sysco Corp | 4,516 | 234,200 | ||||||
Tenet Healthcare Corp* | 766 | 18,307 | ||||||
Thermo Fisher Scientific Inc | 2,658 | 404,521 | ||||||
Total System Services Inc | 1,190 | 58,608 | ||||||
Tyson Foods Inc | 2,328 | 175,927 | ||||||
United Rentals Inc* | 724 | 59,592 | ||||||
UnitedHealth Group Inc | 7,156 | 973,574 | ||||||
Universal Health Services Inc | 683 | 82,322 | ||||||
Varian Medical Systems Inc* | 875 | 84,114 | ||||||
Vertex Pharmaceuticals Inc* | 1,731 | 163,597 | ||||||
Western Union Co/The | 4,688 | 100,886 | ||||||
Whole Foods Market Inc | 2,358 | 71,636 | ||||||
Zimmer Biomet Holdings Inc | 1,338 | 173,418 | ||||||
Zoetis Inc | 3,718 | 189,990 | ||||||
Total Consumer, Non-Cyclical | 34,075,700 | |||||||
Diversified (0.02%) | ||||||||
Leucadia National Corp | 1,447 | 27,710 | ||||||
Total Diversified | 27,710 | |||||||
Energy (6.79%) | ||||||||
Anadarko Petroleum Corp | 3,750 | 200,513 | ||||||
Apache Corp | 2,792 | 138,762 | ||||||
Baker Hughes Inc | 3,384 | 166,256 | ||||||
Cabot Oil & Gas Corp | 3,164 | 77,929 | ||||||
California Resources Corp | 55 | 546 | ||||||
Chesapeake Energy Corp* | 3,818 | 24,244 | ||||||
Chevron Corp (c) | 14,364 | 1,444,731 | ||||||
Cimarex Energy Co | 657 | 86,842 | ||||||
ConocoPhillips | 8,936 | 366,823 | ||||||
CONSOL Energy Inc | 1,500 | 27,360 | ||||||
Devon Energy Corp | 2,767 | $ | 119,894 | |||||
Diamond Offshore Drilling Inc | 576 | 10,639 | ||||||
Ensco PLC | 1,707 | 12,956 | ||||||
EOG Resources Inc | 3,850 | 340,687 | ||||||
EQT Corp | 1,085 | 77,578 | ||||||
Exxon Mobil Corp (c) | 31,478 | 2,742,992 | ||||||
First Solar Inc* | 370 | 13,993 | ||||||
FMC Technologies Inc* | 1,793 | 50,563 | ||||||
Halliburton Co | 6,883 | 296,038 | ||||||
Helmerich & Payne Inc | 805 | 48,670 | ||||||
Hess Corp | 1,823 | 98,989 | ||||||
Kinder Morgan Inc/DE | 12,787 | 279,396 | ||||||
Marathon Oil Corp | 5,187 | 77,909 | ||||||
Marathon Petroleum Corp | 4,098 | 174,206 | ||||||
Murphy Oil Corp | 1,357 | 36,259 | ||||||
National Oilwell Varco Inc | 3,192 | 107,060 | ||||||
Newfield Exploration Co* | 988 | 42,840 | ||||||
Noble Energy Inc | 2,616 | 90,200 | ||||||
Occidental Petroleum Corp | 5,892 | 452,800 | ||||||
ONEOK Inc | 1,546 | 72,492 | ||||||
Phillips 66 | 4,078 | 319,919 | ||||||
Pioneer Natural Resources Co | 880 | 157,564 | ||||||
Range Resources Corp | 1,202 | 46,361 | ||||||
Schlumberger Ltd | 11,025 | 870,975 | ||||||
Southwestern Energy Co* | 2,561 | 35,624 | ||||||
Spectra Energy Corp | 4,856 | 172,971 | ||||||
Tesoro Corp | 1,028 | 77,532 | ||||||
Transocean Ltd | 2,519 | 24,434 | ||||||
Valero Energy Corp | 4,032 | 223,171 | ||||||
Williams Cos Inc/The | 4,450 | 124,333 | ||||||
Total Energy | 9,733,051 | |||||||
Financial (16.59%) | ||||||||
Affiliated Managers Group Inc* | 409 | 58,098 | ||||||
Aflac Inc | 3,445 | 255,550 | ||||||
Alliance Data Systems Corp* | 400 | 81,832 | ||||||
Allstate Corp/The | 3,124 | 215,431 | ||||||
American Express Co | 6,577 | 431,320 | ||||||
American International Group Inc | 10,299 | 616,189 | ||||||
American Tower Corp | 2,860 | 324,267 | ||||||
Ameriprise Financial Inc | 1,369 | 138,379 | ||||||
Aon PLC | 2,362 | 263,009 | ||||||
Apartment Investment & Management Co | 1,070 | 48,343 | ||||||
Assurant Inc | 596 | 53,372 | ||||||
AvalonBay Communities Inc | 686 | 120,057 | ||||||
Bank of America Corp | 77,978 | 1,258,564 | ||||||
Bank of New York Mellon Corp/The | 8,692 | 362,196 | ||||||
BB&T Corp | 5,247 | 202,010 | ||||||
Berkshire Hathaway Inc* | 13,493 | 2,030,560 | ||||||
BlackRock Inc | 941 | 350,814 | ||||||
Boston Properties Inc | 1,078 | 151,060 | ||||||
Capital One Financial Corp | 4,021 | 287,904 | ||||||
CBRE Group Inc* | 2,058 | 61,514 | ||||||
Charles Schwab Corp/The | 7,272 | 228,777 | ||||||
Chubb Ltd | 3,685 | 467,737 | ||||||
Cincinnati Financial Corp | 1,179 | 90,913 | ||||||
Citigroup Inc | 22,616 | 1,079,688 | ||||||
CME Group Inc | 2,250 | 243,788 | ||||||
Comerica Inc | 1,331 | 62,943 | ||||||
Crown Castle International Corp | 2,156 | 204,324 | ||||||
Discover Financial Services | 3,788 | 227,280 | ||||||
E*TRADE Financial Corp* | 1,181 | 31,155 | ||||||
Equinix Inc | 434 | 159,994 | ||||||
Equity Residential | 2,164 | $ | 140,379 | |||||
Essex Property Trust Inc | 463 | 105,147 | ||||||
Fifth Third Bancorp | 6,069 | 122,351 | ||||||
Four Corners Property Trust Inc | 425 | 8,802 | ||||||
Franklin Resources Inc | 3,105 | 113,333 | ||||||
General Growth Properties Inc | 4,119 | 120,028 | ||||||
Genworth Financial Inc* | 3,728 | 17,633 | ||||||
Goldman Sachs Group Inc/The | 3,040 | 515,158 | ||||||
Hartford Financial Services Group Inc/The | 2,922 | 120,007 | ||||||
HCP Inc | 3,020 | 118,777 | ||||||
Host Hotels & Resorts Inc | 5,173 | 92,183 | ||||||
Huntington Bancshares Inc/OH | 5,456 | 54,615 | ||||||
Intercontinental Exchange Inc | 849 | 239,435 | ||||||
Invesco Ltd | 3,410 | 106,358 | ||||||
Iron Mountain Inc | 1,369 | 52,583 | ||||||
JPMorgan Chase & Co | 27,735 | 1,872,111 | ||||||
KeyCorp | 6,704 | 84,202 | ||||||
Kimco Realty Corp | 2,994 | 89,970 | ||||||
Legg Mason Inc | 743 | 25,700 | ||||||
Lincoln National Corp | 2,305 | 110,709 | ||||||
Loews Corp | 2,394 | 100,213 | ||||||
M&T Bank Corp | 1,180 | 139,629 | ||||||
Macerich Co/The | 1,011 | 82,791 | ||||||
Marsh & McLennan Cos Inc | 4,025 | 272,211 | ||||||
MasterCard Inc | 7,325 | 707,815 | ||||||
MetLife Inc | 7,704 | 334,354 | ||||||
Morgan Stanley | 10,374 | 332,590 | ||||||
Nasdaq Inc | 1,127 | 80,254 | ||||||
Navient Corp | 3,621 | 52,070 | ||||||
Northern Trust Corp | 1,610 | 113,650 | ||||||
People's United Financial Inc | 2,887 | 46,914 | ||||||
PNC Financial Services Group Inc/The | 3,945 | 355,445 | ||||||
Principal Financial Group Inc | 2,041 | 100,152 | ||||||
Progressive Corp/The | 4,123 | 134,245 | ||||||
Prologis Inc | 3,315 | 176,060 | ||||||
Prudential Financial Inc | 3,541 | 281,085 | ||||||
Public Storage | 1,035 | 231,778 | ||||||
Realty Income Corp | 1,688 | 110,952 | ||||||
Regions Financial Corp | 9,066 | 90,388 | ||||||
Simon Property Group Inc | 2,175 | 468,647 | ||||||
SL Green Realty Corp | 740 | 87,113 | ||||||
State Street Corp | 3,093 | 217,252 | ||||||
SunTrust Banks Inc | 3,809 | 167,863 | ||||||
T Rowe Price Group Inc | 1,965 | 136,646 | ||||||
Torchmark Corp | 1,176 | 76,064 | ||||||
Travelers Cos Inc/The | 2,411 | 286,210 | ||||||
Unum Group | 2,266 | 80,692 | ||||||
US Bancorp | 13,884 | 612,979 | ||||||
Ventas Inc | 2,081 | 151,226 | ||||||
Visa Inc | 14,557 | 1,177,661 | ||||||
Vornado Realty Trust | 1,244 | 128,518 | ||||||
Wells Fargo & Co (c) | 35,184 | 1,787,346 | ||||||
Welltower Inc | 1,873 | 143,753 | ||||||
Weyerhaeuser Co | 5,770 | 183,775 | ||||||
XL Group Ltd | 2,249 | 76,983 | ||||||
Zions Bancorporation | 1,054 | 32,242 | ||||||
Total Financial | 23,774,115 | |||||||
Industrial (10.21%) | ||||||||
3M Co | 4,679 | 838,664 | ||||||
Agilent Technologies Inc | 2,633 | 123,698 | ||||||
Allegion PLC | 703 | 50,068 | ||||||
AMETEK Inc | 1,816 | 88,530 | ||||||
Amphenol Corp | 2,372 | 147,799 |
See accompanying notes to financial statements.
18
S&P 500 Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Ball Corp | 1,134 | $ | 89,801 | |||||
Boeing Co/The | 4,978 | 644,402 | ||||||
Caterpillar Inc | 4,752 | 389,426 | ||||||
CH Robinson Worldwide Inc | 1,280 | 88,858 | ||||||
Corning Inc | 9,540 | 216,463 | ||||||
CSX Corp | 7,645 | 216,201 | ||||||
Cummins Inc | 1,302 | 163,544 | ||||||
Deere & Co | 2,547 | 215,349 | ||||||
Dover Corp | 1,334 | 96,715 | ||||||
Eaton Corp PLC | 3,484 | 231,825 | ||||||
Emerson Electric Co | 5,336 | 281,100 | ||||||
Expeditors International of Washington Inc | 1,549 | 78,457 | ||||||
FedEx Corp | 2,148 | 354,270 | ||||||
FLIR Systems Inc | 1,158 | 35,701 | ||||||
Flowserve Corp | 1,128 | 54,561 | ||||||
Fluor Corp | 1,298 | 67,366 | ||||||
Fortive Corp | 2,083 | 109,712 | ||||||
Garmin Ltd | 806 | 39,558 | ||||||
General Dynamics Corp | 2,440 | 371,417 | ||||||
General Electric Co | 75,529 | 2,359,525 | ||||||
Harris Corp | 833 | 77,452 | ||||||
Honeywell International Inc | 5,633 | 657,427 | ||||||
Illinois Tool Works Inc | 2,619 | 311,268 | ||||||
Ingersoll-Rand PLC | 2,109 | 143,391 | ||||||
Jacobs Engineering Group Inc* | 962 | 50,688 | ||||||
JB Hunt Transport Services Inc | 690 | 54,779 | ||||||
Johnson Controls International plc | 5,136 | 225,368 | ||||||
Joy Global Inc | 784 | 21,388 | ||||||
Kansas City Southern | 811 | 78,440 | ||||||
L-3 Communications Holdings Inc | 719 | 107,002 | ||||||
Lockheed Martin Corp | 1,981 | 481,324 | ||||||
Martin Marietta Materials Inc | 463 | 84,743 | ||||||
Masco Corp | 2,627 | 93,206 | ||||||
Norfolk Southern Corp | 2,398 | 225,172 | ||||||
Northrop Grumman Corp | 1,488 | 315,560 | ||||||
Owens-Illinois Inc* | 1,395 | 25,012 | ||||||
Parker-Hannifin Corp | 1,096 | 134,293 | ||||||
Pentair PLC | 1,542 | 98,765 | ||||||
PerkinElmer Inc | 1,021 | 54,368 | ||||||
Raytheon Co | 2,443 | 342,338 | ||||||
Republic Services Inc | 2,203 | 111,296 | ||||||
Rockwell Automation Inc | 1,085 | 125,784 | ||||||
Rockwell Collins Inc | 1,079 | 90,302 | ||||||
Roper Technologies Inc | 694 | 123,220 | ||||||
Ryder System Inc | 477 | 31,253 | ||||||
Sealed Air Corp | 1,582 | 74,560 | ||||||
Snap-on Inc | 424 | 64,995 | ||||||
Stanley Black & Decker Inc | 1,237 | 153,079 | ||||||
Stericycle Inc* | 642 | 55,199 | ||||||
TE Connectivity Ltd | 3,236 | 205,713 | ||||||
Textron Inc | 2,069 | 84,519 | ||||||
Johnson Controls International plc* | 3,464 | 151,308 | ||||||
Union Pacific Corp | 6,613 | 631,740 | ||||||
United Parcel Service Inc | 5,289 | 577,665 | ||||||
United Technologies Corp | 6,172 | 656,886 | ||||||
Vulcan Materials Co | 956 | 108,860 | ||||||
Waste Management Inc | 3,352 | 214,327 | ||||||
Waters Corp* | 682 | 107,285 | ||||||
WestRock Co | 996 | 47,708 | ||||||
Xylem Inc/NY | 1,498 | 76,188 | ||||||
Total Industrial | 14,626,881 | |||||||
Technology (13.44%) | ||||||||
Accenture PLC | 4,670 | $ | 537,050 | |||||
Adobe Systems Inc* | 3,587 | 366,986 | ||||||
Akamai Technologies Inc* | 1,400 | 76,860 | ||||||
Analog Devices Inc | 2,227 | 139,321 | ||||||
Apple Inc (c) | 43,710 | 4,637,630 | ||||||
Applied Materials Inc | 9,105 | 271,693 | ||||||
Autodesk Inc* | 1,669 | 112,491 | ||||||
Broadcom Ltd | 1,963 | 346,312 | ||||||
CA Inc | 2,646 | 89,726 | ||||||
Cerner Corp* | 2,120 | 136,825 | ||||||
Citrix Systems Inc* | 1,348 | 117,546 | ||||||
Cognizant Technology Solutions Corp* | 4,408 | 253,196 | ||||||
Computer Sciences Corp | 1,256 | 59,082 | ||||||
CSRA Inc | 1,256 | 31,890 | ||||||
Dun & Bradstreet Corp/The | 396 | 54,509 | ||||||
Electronic Arts Inc* | 2,629 | 213,554 | ||||||
EMC Corp | 14,917 | 432,444 | ||||||
Fidelity National Information Services Inc | 1,851 | 146,840 | ||||||
Fiserv Inc* | 2,114 | 217,848 | ||||||
Hewlett Packard Enterprise Co | 14,359 | 308,431 | ||||||
HP Inc | 14,359 | 206,339 | ||||||
Intel Corp | 36,299 | 1,302,771 | ||||||
International Business Machines Corp | 6,898 | 1,095,954 | ||||||
Intuit Inc | 2,031 | 226,355 | ||||||
Lam Research Corp | 1,341 | 125,142 | ||||||
Linear Technology Corp | 1,694 | 98,659 | ||||||
Microchip Technology Inc | 1,401 | 86,736 | ||||||
Micron Technology Inc* | 6,485 | 106,938 | ||||||
Microsoft Corp | 61,563 | 3,537,409 | ||||||
NetApp Inc | 2,586 | 89,450 | ||||||
NVIDIA Corp | 4,572 | 280,446 | ||||||
Oracle Corp | 24,056 | 991,588 | ||||||
Paychex Inc | 2,454 | 148,884 | ||||||
Pitney Bowes Inc | 1,820 | 34,143 | ||||||
Qorvo Inc* | 1,120 | 64,322 | ||||||
QUALCOMM Inc | 12,533 | 790,456 | ||||||
Red Hat Inc* | 1,433 | 104,580 | ||||||
salesforce.com Inc* | 3,760 | 298,619 | ||||||
Seagate Technology PLC | 2,601 | 87,758 | ||||||
Skyworks Solutions Inc | 1,431 | 107,125 | ||||||
Teradata Corp* | 1,256 | 39,853 | ||||||
Texas Instruments Inc | 8,319 | 578,503 | ||||||
Western Digital Corp | 2,052 | 95,767 | ||||||
Xerox Corp | 10,310 | 101,554 | ||||||
Xilinx Inc | 2,112 | 114,492 | ||||||
Total Technology | 19,264,077 | |||||||
Utilities (2.88%) | ||||||||
AES Corp/VA | 4,674 | 56,415 | ||||||
Ameren Corp | 1,808 | 89,351 | ||||||
American Electric Power Co Inc | 3,645 | 235,358 | ||||||
CenterPoint Energy Inc | 2,979 | 66,938 | ||||||
CMS Energy Corp | 2,062 | 86,542 | ||||||
Consolidated Edison Inc | 2,227 | 167,582 | ||||||
Dominion Resources Inc/VA | 4,251 | 315,254 | ||||||
DTE Energy Co | 1,258 | 116,868 | ||||||
Duke Energy Corp | 5,180 | 412,639 | ||||||
Edison International | 2,433 | 176,928 | ||||||
Entergy Corp | 1,304 | 101,973 | ||||||
Eversource Energy | 2,274 | 122,728 | ||||||
Exelon Corp | 6,183 | 210,222 | ||||||
FirstEnergy Corp | 3,123 | 102,216 | ||||||
NextEra Energy Inc | 3,154 | $ | 381,445 | |||||
NiSource Inc | 2,050 | 49,077 | ||||||
NRG Energy Inc | 1,956 | 23,687 | ||||||
PG&E Corp | 2,830 | 175,290 | ||||||
Pinnacle West Capital Corp | 806 | 60,482 | ||||||
PPL Corp | 4,208 | 146,354 | ||||||
Public Service Enterprise Group Inc | 3,861 | 165,096 | ||||||
SCANA Corp | 845 | 59,699 | ||||||
Sempra Energy | 1,653 | 172,953 | ||||||
Southern Co/The | 6,412 | 329,128 | ||||||
WEC Energy Group Inc | 2,388 | 142,993 | ||||||
Xcel Energy Inc | 3,728 | 154,190 | ||||||
Total Utilities | 4,121,408 | |||||||
Total Common Stock (Cost $62,647,884) | 141,318,212 | |||||||
Right/Warrant (0.00%) | ||||||||
Safeway, Inc. CVR-Non Tradeable** | 1,746 | 85 | ||||||
Safeway, Inc. CVR-Non Tradeable** | 1,746 | 1,772 | ||||||
Total Right/Warrant (Cost $2,009) | 1,857 | |||||||
Total Investments | $ | 141,320,069 | ||||||
Other Net Assets (1.40%) | 2,006,656 | |||||||
Net Assets (100.00%) | $ | 143,326,725 |
* Non-income producing security. |
** These securities have been fair valued and deemed to be illiquid by the Advisor. At August 31, 2016, the fair value was $1,857, or 0.00% of net assets. As of the year ended August 31, 2016, these investments did not have a material impact on the Funds net assets and therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
(a) Aggregate cost for federal income tax purpose is $62,954,305.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 82,236,264 | ||
Unrealized depreciation | (3,870,500 | ) | ||
Net unrealized appreciation | $ | 78,365,764 | ||
(b) Futures contracts at August 31, 2016:
Contracts - $50 times premium / delivery month / commitment / exchange |
S&P 500 E-MINI | Value at Trade Date | Notional Value | Unrealized Appreciation | |||||||||
18 / SEP 2016 / Long / CME | $ | 1,895,250 | $ | 1,952,550 | $ | 57,300 | ||||||
(c) A portion of these shares have been pledged in connection with obligations for futures contracts. |
See accompanying notes to financial statements.
19
S&P MidCap Index Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (98.77%) | ||||||||
Basic Materials (4.84%) | ||||||||
Ashland Inc | 6,113 | $ | 715,709 | |||||
Cabot Corp | 6,690 | 333,563 | ||||||
Carpenter Technology Corp | 4,953 | 179,695 | ||||||
Commercial Metals Co | 12,146 | 188,506 | ||||||
Compass Minerals International Inc | 3,460 | 257,874 | ||||||
Domtar Corp | 6,701 | 250,081 | ||||||
Minerals Technologies Inc | 3,557 | 251,017 | ||||||
NewMarket Corp | 1,020 | 442,629 | ||||||
Olin Corp | 8,099 | 175,262 | ||||||
PolyOne Corp | 8,709 | 300,199 | ||||||
Reliance Steel & Aluminum Co | 7,479 | 539,086 | ||||||
Royal Gold Inc | 4,689 | 343,797 | ||||||
RPM International Inc | 12,787 | 697,275 | ||||||
Sensient Technologies Corp | 4,970 | 363,953 | ||||||
Steel Dynamics Inc | 23,032 | 567,048 | ||||||
United States Steel Corp | 12,909 | 250,951 | ||||||
Valspar Corp/The | 7,303 | 769,809 | ||||||
Worthington Industries Inc | 5,239 | 224,753 | ||||||
Total Basic Materials | 6,851,207 | |||||||
Communications (2.86%) | ||||||||
AMC Networks Inc* | 5,664 | 307,782 | ||||||
ARRIS International PLC* | 13,140 | 368,840 | ||||||
Cable One Inc | 421 | 227,812 | ||||||
Ciena Corp* | 11,260 | 241,527 | ||||||
comScore Inc* | 3,288 | 101,435 | ||||||
FactSet Research Systems Inc | 3,719 | 662,093 | ||||||
InterDigital Inc/PA | 3,831 | 273,572 | ||||||
John Wiley & Sons Inc | 4,836 | 281,117 | ||||||
Meredith Corp | 3,759 | 199,377 | ||||||
NeuStar Inc* | 5,782 | 146,921 | ||||||
New York Times Co/The | 14,132 | 182,868 | ||||||
Plantronics Inc | 4,417 | 223,721 | ||||||
Polycom Inc* | 14,123 | 175,690 | ||||||
Telephone & Data Systems Inc | 10,202 | 284,330 | ||||||
ViaSat Inc* | 3,110 | 233,374 | ||||||
WebMD Health Corp* | 2,674 | 137,898 | ||||||
Total Communications | 4,048,357 | |||||||
Consumer, Cyclical (12.20%) | ||||||||
American Eagle Outfitters Inc | 18,564 | 344,177 | ||||||
Ascena Retail Group Inc* | 17,057 | 138,844 | ||||||
Big Lots Inc | 5,120 | 252,518 | ||||||
Brinker International Inc | 6,088 | 326,986 | ||||||
Brunswick Corp/DE | 8,905 | 409,540 | ||||||
Buffalo Wild Wings Inc* | 1,802 | 292,284 | ||||||
Cabela's Inc* | 4,908 | 240,443 | ||||||
CalAtlantic Group Inc | 5,208 | 190,040 | ||||||
Carter's Inc | 5,068 | 482,930 | ||||||
Casey's General Stores Inc | 3,675 | 482,564 | ||||||
Cheesecake Factory Inc/The | 4,749 | 244,146 | ||||||
Chico's FAS Inc | 15,751 | 199,723 | ||||||
Churchill Downs Inc | 840 | 125,479 | ||||||
Cinemark Holdings Inc | 9,976 | 385,572 | ||||||
Copart Inc* | 10,892 | 555,710 | ||||||
Cracker Barrel Old Country Store Inc | 2,273 | 345,746 | ||||||
CST Brands Inc | 6,833 | 326,686 | ||||||
Deckers Outdoor Corp* | 3,569 | 233,234 | ||||||
Dick's Sporting Goods Inc | 9,398 | 550,723 | ||||||
Domino's Pizza Inc | 5,269 | 788,084 | ||||||
Dunkin’ Brands Group Inc | 9,507 | 465,368 | ||||||
Fossil Group Inc* | 2,892 | $ | 82,596 | |||||
GameStop Corp | 7,293 | 207,048 | ||||||
Guess? Inc | 6,504 | 108,162 | ||||||
Herman Miller Inc | 6,124 | 220,893 | ||||||
HNI Corp | 4,649 | 259,600 | ||||||
HSN Inc | 3,343 | 139,671 | ||||||
Ingram Micro Inc | 14,938 | 522,232 | ||||||
International Speedway Corp | 2,678 | 89,151 | ||||||
Jack in the Box Inc | 3,547 | 352,785 | ||||||
JC Penney Co Inc* | 31,426 | 296,347 | ||||||
JetBlue Airways Corp* | 23,748 | 378,781 | ||||||
KB Home | 8,723 | 136,951 | ||||||
MSC Industrial Direct Co Inc | 4,839 | 353,441 | ||||||
NVR Inc* | 385 | 649,418 | ||||||
Office Depot Inc | 46,441 | 170,903 | ||||||
Panera Bread Co* | 2,454 | 532,886 | ||||||
Polaris Industries Inc | 5,852 | 507,017 | ||||||
Pool Corp | 2,978 | 300,391 | ||||||
Scotts Miracle-Gro Co/The | 4,332 | 358,690 | ||||||
Skechers U.S.A. Inc* | 11,700 | 284,427 | ||||||
Tempur Sealy International Inc* | 6,278 | 492,321 | ||||||
Texas Roadhouse Inc | 4,276 | 189,299 | ||||||
Thor Industries Inc | 4,449 | 361,036 | ||||||
Toll Brothers Inc* | 15,510 | 482,206 | ||||||
Toro Co/The | 3,868 | 375,776 | ||||||
Tupperware Brands Corp | 4,825 | 316,182 | ||||||
Vista Outdoor Inc* | 6,584 | 262,175 | ||||||
Watsco Inc | 2,811 | 415,633 | ||||||
Wendy's Co/The | 28,361 | 288,999 | ||||||
Williams-Sonoma Inc (c) | 8,204 | 431,859 | ||||||
World Fuel Services Corp | 6,903 | 307,736 | ||||||
Total Consumer, Cyclical | 17,255,409 | |||||||
Consumer, Non-Cyclical (15.82%) | ||||||||
Aaron's Inc | 6,634 | 161,604 | ||||||
ABIOMED Inc* | 2,697 | 318,084 | ||||||
Align Technology Inc* | 6,922 | 643,054 | ||||||
Amsurg Corp* | 3,512 | 227,999 | ||||||
Bio-Rad Laboratories Inc* | 2,113 | 314,436 | ||||||
Bio-Techne Corp | 3,629 | 382,315 | ||||||
Boston Beer Co Inc/The* | 851 | 155,435 | ||||||
Catalent Inc* | 9,318 | 235,093 | ||||||
CEB Inc | 3,477 | 209,315 | ||||||
Charles River Laboratories International Inc* | 4,812 | 400,407 | ||||||
Community Health Systems Inc* | 11,140 | 118,975 | ||||||
Cooper Cos Inc/The | 4,782 | 889,069 | ||||||
CoreLogic Inc/United States* | 8,597 | 352,649 | ||||||
Dean Foods Co | 9,667 | 166,369 | ||||||
Deluxe Corp | 5,133 | 349,917 | ||||||
DeVry Education Group Inc | 5,910 | 136,166 | ||||||
Edgewell Personal Care Co* | 5,949 | 475,979 | ||||||
Flowers Foods Inc | 17,698 | 263,877 | ||||||
FTI Consulting Inc* | 4,461 | 197,578 | ||||||
Gartner Inc* | 8,719 | 793,429 | ||||||
Graham Holdings Co | 421 | 206,437 | ||||||
Hain Celestial Group Inc/The* | 9,668 | 355,299 | ||||||
Halyard Health Inc* | 4,818 | 175,616 | ||||||
Helen of Troy Ltd* | 1,916 | 173,091 | ||||||
Hill-Rom Holdings Inc | 5,915 | 350,819 | ||||||
IDEXX Laboratories Inc* | 9,136 | 1,029,443 | ||||||
Ingredion Inc | 6,884 | 942,833 | ||||||
Lancaster Colony Corp | 2,001 | 269,195 | ||||||
LifePoint Health Inc* | 4,653 | 263,360 | ||||||
LivaNova PLC* | 2,983 | 179,040 | ||||||
Live Nation Entertainment Inc* | 13,841 | 369,832 | ||||||
ManpowerGroup Inc | 7,581 | $ | 541,738 | |||||
MarketAxess Holdings Inc | 2,724 | 459,103 | ||||||
MEDNAX Inc* | 9,620 | 632,707 | ||||||
Molina Healthcare Inc* | 3,819 | 205,500 | ||||||
Owens & Minor Inc | 6,501 | 223,439 | ||||||
PAREXEL International Corp* | 5,235 | 356,137 | ||||||
Post Holdings Inc* | 4,823 | 408,894 | ||||||
Prestige Brands Holdings Inc* | 3,633 | 174,856 | ||||||
ResMed Inc | 13,359 | 890,912 | ||||||
Rollins Inc | 9,916 | 282,606 | ||||||
RR Donnelley & Sons Co | 20,054 | 342,923 | ||||||
Service Corp International/US | 19,892 | 525,944 | ||||||
Snyder's-Lance Inc | 5,343 | 188,822 | ||||||
Sotheby's | 6,329 | 250,945 | ||||||
Sprouts Farmers Market Inc* | 9,882 | 222,641 | ||||||
STERIS PLC | 5,692 | 402,311 | ||||||
SUPERVALU Inc* | 22,173 | 121,508 | ||||||
Teleflex Inc | 3,967 | 726,318 | ||||||
Tenet Healthcare Corp* | 6,678 | 159,604 | ||||||
Tootsie Roll Industries Inc | 2,027 | 77,208 | ||||||
TreeHouse Foods Inc* | 4,336 | 410,749 | ||||||
United Natural Foods Inc* | 4,779 | 217,922 | ||||||
United Therapeutics Corp* | 4,551 | 556,496 | ||||||
VCA Inc* | 8,059 | 570,658 | ||||||
WellCare Health Plans Inc* | 4,206 | 474,016 | ||||||
West Pharmaceutical Services Inc | 6,828 | 558,735 | ||||||
WEX Inc* | 3,714 | 368,837 | ||||||
WhiteWave Foods Co/The* | 16,703 | 925,847 | ||||||
Total Consumer, Non-Cyclical | 22,384,091 | |||||||
Energy (2.62%) | ||||||||
CONSOL Energy Inc | 17,895 | 326,405 | ||||||
Dril-Quip Inc* | 4,000 | 222,280 | ||||||
Energen Corp | 7,013 | 403,248 | ||||||
Ensco PLC | 20,185 | 153,204 | ||||||
HollyFrontier Corp (c) | 18,752 | 485,302 | ||||||
Murphy USA Inc* | 4,431 | 323,995 | ||||||
Nabors Industries Ltd | 18,797 | 186,842 | ||||||
Oceaneering International Inc | 10,060 | 266,791 | ||||||
Oil States International Inc* | 5,094 | 158,016 | ||||||
Patterson-UTI Energy Inc | 15,065 | 293,617 | ||||||
QEP Resources Inc | 16,638 | 317,786 | ||||||
Superior Energy Services Inc | 9,508 | 160,020 | ||||||
Western Refining Inc | 6,991 | 175,894 | ||||||
WPX Energy Inc* | 19,483 | 233,796 | ||||||
Total Energy | 3,707,196 | |||||||
Financial (24.66%) | ||||||||
Alexander & Baldwin Inc | 4,846 | 194,470 | ||||||
Alexandria Real Estate Equities Inc | 6,898 | 759,401 | ||||||
Alleghany Corp (c)* | 1,595 | 855,239 | ||||||
American Campus Communities Inc | 10,070 | 504,608 | ||||||
American Financial Group Inc/OH | 7,071 | 531,386 | ||||||
Aspen Insurance Holdings Ltd | 5,962 | 274,014 | ||||||
Associated Banc-Corp | 15,965 | 316,746 | ||||||
BancorpSouth Inc | 8,709 | 216,854 | ||||||
Bank of Hawaii Corp | 4,563 | 328,719 | ||||||
Bank of the Ozarks Inc | 6,111 | 239,429 | ||||||
Brown & Brown Inc | 11,293 | 423,149 | ||||||
Camden Property Trust | 8,277 | 726,472 | ||||||
Care Capital Properties Inc | 5,644 | 169,264 | ||||||
Cathay General Bancorp | 7,638 | 239,986 | ||||||
CBOE Holdings Inc | 8,085 | 555,359 |
See accompanying notes to financial statements.
20
S&P MidCap Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
CNO Financial Group Inc | 18,689 | $ | 303,696 | |||||
Commerce Bancshares Inc/MO | 8,848 | 448,417 | ||||||
Communications Sales & Leasing Inc* | 9,408 | 293,530 | ||||||
Corporate Office Properties Trust | 8,366 | 238,598 | ||||||
Corrections Corp of America | 11,158 | 177,747 | ||||||
Cullen/Frost Bankers Inc | 5,255 | 383,090 | ||||||
DCT Industrial Trust Inc | 6,212 | 302,587 | ||||||
Douglas Emmett Inc | 13,261 | 498,083 | ||||||
Duke Realty Corp (c) | 32,737 | 920,564 | ||||||
East West Bancorp Inc | 13,752 | 510,749 | ||||||
Eaton Vance Corp | 11,329 | 453,500 | ||||||
Education Realty Trust Inc | 4,640 | 210,238 | ||||||
Endurance Specialty Holdings Ltd | 5,747 | 378,440 | ||||||
EPR Properties | 4,422 | 346,331 | ||||||
Equity One Inc | 6,724 | 208,713 | ||||||
Everest Re Group Ltd | 4,481 | 866,535 | ||||||
Federated Investors Inc | 9,840 | 317,832 | ||||||
First American Financial Corp | 10,276 | 442,793 | ||||||
First Horizon National Corp | 22,537 | 346,619 | ||||||
First Industrial Realty Trust Inc | 8,145 | 234,332 | ||||||
FNB Corp/PA | 14,289 | 178,470 | ||||||
Fulton Financial Corp | 19,359 | 279,931 | ||||||
Hancock Holding Co | 8,439 | 275,365 | ||||||
Hanover Insurance Group Inc/The | 4,542 | 355,184 | ||||||
Healthcare Realty Trust Inc | 7,860 | 275,572 | ||||||
Highwoods Properties Inc | 8,743 | 463,729 | ||||||
Hospitality Properties Trust | 14,360 | 437,836 | ||||||
Huntington Bancshares Inc/OH | 29,319 | 293,484 | ||||||
International Bancshares Corp | 5,988 | 177,544 | ||||||
Janus Capital Group Inc | 15,310 | 227,660 | ||||||
Jones Lang LaSalle Inc | 4,294 | 501,325 | ||||||
Kemper Corp | 5,158 | 193,167 | ||||||
KeyCorp | 1 | 11 | ||||||
Kilroy Realty Corp | 8,334 | 605,297 | ||||||
Lamar Advertising Co | 7,679 | 478,632 | ||||||
LaSalle Hotel Properties | 10,698 | 300,186 | ||||||
Liberty Property Trust | 14,231 | 586,744 | ||||||
Life Storage Inc | 3,438 | 309,420 | ||||||
Mack-Cali Realty Corp | 8,623 | 239,374 | ||||||
Medical Properties Trust Inc | 16,278 | 248,565 | ||||||
Mercury General Corp | 3,740 | 203,082 | ||||||
Mid-America Apartment Communities Inc | 7,209 | 677,574 | ||||||
National Retail Properties Inc | 12,882 | 645,388 | ||||||
New York Community Bancorp Inc | 42,406 | 640,755 | ||||||
Old Republic International Corp | 23,244 | 446,982 | ||||||
Omega Healthcare Investors Inc | 12,220 | 442,364 | ||||||
PacWest Bancorp | 9,275 | 401,700 | ||||||
Post Properties Inc | 3,635 | 240,928 | ||||||
Potlatch Corp | 4,184 | 158,448 | ||||||
Primerica Inc | 5,087 | 289,603 | ||||||
PrivateBancorp Inc | 5,462 | 250,979 | ||||||
Prosperity Bancshares Inc | 6,183 | 342,971 | ||||||
Raymond James Financial Inc | 12,069 | 702,054 | ||||||
Rayonier Inc | 13,045 | 359,129 | ||||||
Regency Centers Corp | 8,933 | 719,464 | ||||||
Reinsurance Group of America Inc | 6,581 | 706,273 | ||||||
RenaissanceRe Holdings Ltd | 3,920 | 469,224 | ||||||
SEI Investments Co | 12,496 | 576,065 | ||||||
Senior Housing Properties Trust | 4,406 | 98,430 | ||||||
Signature Bank/New York NY* | 4,820 | 588,088 | ||||||
SLM Corp* | 40,540 | 300,604 | ||||||
SVB Financial Group* | 4,916 | $ | 545,971 | |||||
Synovus Financial Corp | 12,752 | 421,836 | ||||||
Tanger Factory Outlet Centers Inc | 9,884 | 401,686 | ||||||
Taubman Centers Inc | 6,066 | 471,146 | ||||||
TCF Financial Corp | 16,020 | 234,693 | ||||||
Trustmark Corp | 6,874 | 194,947 | ||||||
Umpqua Holdings Corp | 22,396 | 367,742 | ||||||
Urban Edge Properties | 8,363 | 239,684 | ||||||
Valley National Bancorp | 22,192 | 214,153 | ||||||
Waddell & Reed Financial Inc | 8,010 | 148,986 | ||||||
Washington Federal Inc | 10,259 | 271,864 | ||||||
Webster Financial Corp | 9,305 | 359,452 | ||||||
Weingarten Realty Investors | 10,777 | 444,551 | ||||||
WisdomTree Investments Inc | 7,917 | 83,129 | ||||||
WR Berkley Corp | 9,726 | 577,433 | ||||||
Total Financial | 34,882,364 | |||||||
Industrial (18.69%) | ||||||||
AECOM* | 14,194 | 437,601 | ||||||
AGCO Corp | 8,018 | 389,194 | ||||||
AO Smith Corp | 7,206 | 695,235 | ||||||
AptarGroup Inc | 6,201 | 483,554 | ||||||
Arrow Electronics Inc* | 9,599 | 631,902 | ||||||
Avnet Inc | 13,129 | 547,217 | ||||||
B/E Aerospace Inc | 10,088 | 509,948 | ||||||
Belden Inc | 4,101 | 305,894 | ||||||
Bemis Co Inc | 9,568 | 503,277 | ||||||
Carlisle Cos Inc | 6,147 | 644,573 | ||||||
CLARCOR Inc | 4,802 | 314,387 | ||||||
Clean Harbors Inc* | 5,336 | 255,061 | ||||||
Cognex Corp | 8,942 | 444,954 | ||||||
Crane Co | 5,107 | 328,482 | ||||||
Cree Inc* | 11,057 | 265,479 | ||||||
Curtiss-Wright Corp | 3,144 | 282,646 | ||||||
Donaldson Co Inc | 12,233 | 459,349 | ||||||
Eagle Materials Inc | 4,815 | 386,982 | ||||||
EMCOR Group Inc | 4,602 | 263,511 | ||||||
Energizer Holdings Inc | 5,949 | 294,000 | ||||||
Esterline Technologies Corp* | 3,059 | 235,390 | ||||||
FEI Co | 3,980 | 423,751 | ||||||
GATX Corp | 4,618 | 202,499 | ||||||
Genesee & Wyoming Inc* | 4,903 | 333,355 | ||||||
Gentex Corp | 28,049 | 498,992 | ||||||
Graco Inc | 5,697 | 419,698 | ||||||
Granite Construction Inc | 3,874 | 185,952 | ||||||
Greif Inc | 3,373 | 143,791 | ||||||
Hubbell Inc | 5,204 | 563,645 | ||||||
Huntington Ingalls Industries Inc | 4,626 | 764,076 | ||||||
IDEX Corp | 7,606 | 710,705 | ||||||
ITT Inc | 8,775 | 317,480 | ||||||
Jabil Circuit Inc | 19,156 | 405,916 | ||||||
Joy Global Inc | 6,735 | 183,731 | ||||||
Kennametal Inc | 8,111 | 226,784 | ||||||
Keysight Technologies Inc* | 16,046 | 488,280 | ||||||
Kirby Corp* | 5,466 | 284,779 | ||||||
KLX Inc* | 5,391 | 201,300 | ||||||
Landstar System Inc | 4,607 | 318,943 | ||||||
Lennox International Inc | 4,234 | 681,970 | ||||||
Lincoln Electric Holdings Inc | 7,694 | 489,031 | ||||||
Louisiana-Pacific Corp* | 14,578 | 283,979 | ||||||
Mettler-Toledo International Inc* | 2,734 | 1,101,991 | ||||||
MSA Safety Inc | 3,239 | 188,672 | ||||||
National Instruments Corp | 10,469 | 292,504 | ||||||
Nordson Corp | 5,621 | 554,961 | ||||||
Old Dominion Freight Line Inc* | 6,521 | 463,839 | ||||||
Orbital ATK Inc | 5,677 | $ | 428,216 | |||||
Oshkosh Corp | 7,645 | 412,295 | ||||||
Packaging Corp of America | 9,425 | 741,088 | ||||||
Regal Beloit Corp | 4,281 | 262,554 | ||||||
Silgan Holdings Inc | 4,510 | 217,021 | ||||||
Sonoco Products Co | 9,701 | 499,990 | ||||||
Tech Data Corp* | 3,943 | 292,728 | ||||||
Teledyne Technologies Inc* | 3,502 | 375,204 | ||||||
Terex Corp | 11,360 | 275,821 | ||||||
Timken Co/The | 7,137 | 241,730 | ||||||
Trimble Navigation Ltd (c)* | 25,655 | 702,947 | ||||||
Trinity Industries Inc | 14,910 | 364,102 | ||||||
Triumph Group Inc | 5,301 | 168,890 | ||||||
Valmont Industries Inc | 2,476 | 323,044 | ||||||
Vishay Intertechnology Inc | 13,984 | 198,013 | ||||||
Wabtec Corp/DE (c) | 9,221 | 706,421 | ||||||
Werner Enterprises Inc | 4,592 | 105,983 | ||||||
Woodward Inc | 6,008 | 376,822 | ||||||
Zebra Technologies Corp* | 4,878 | 341,265 | ||||||
Total Industrial | 26,443,394 | |||||||
Technology (11.68%) | ||||||||
ACI Worldwide Inc* | 11,760 | 224,616 | ||||||
Acxiom Corp* | 8,198 | 213,066 | ||||||
Allscripts Healthcare Solutions Inc* | 13,284 | 171,496 | ||||||
ANSYS Inc (c)* | 9,103 | 865,604 | ||||||
Broadridge Financial Solutions Inc | 11,497 | 796,742 | ||||||
Brocade Communications Systems Inc | 33,009 | 296,421 | ||||||
Cadence Design Systems Inc* | 28,043 | 713,414 | ||||||
CDK Global Inc | 15,388 | 892,196 | ||||||
CommVault Systems Inc* | 4,391 | 226,312 | ||||||
Computer Sciences Corp | 13,082 | 615,377 | ||||||
Convergys Corp | 10,423 | 310,918 | ||||||
Cypress Semiconductor Corp | 15,104 | 180,191 | ||||||
Diebold Inc | 6,660 | 186,880 | ||||||
DST Systems Inc | 2,807 | 341,079 | ||||||
Fair Isaac Corp | 3,314 | 423,993 | ||||||
Fairchild Semiconductor International Inc* | 7,939 | 157,986 | ||||||
Fortinet Inc* | 13,266 | 479,433 | ||||||
Integrated Device Technology Inc* | 15,339 | 308,161 | ||||||
Intersil Corp | 13,351 | 263,549 | ||||||
IPG Photonics Corp* | 3,654 | 317,825 | ||||||
j2 Global Inc | 3,256 | 221,962 | ||||||
Jack Henry & Associates Inc | 7,834 | 683,673 | ||||||
Leidos Holdings Inc | 6,411 | 259,710 | ||||||
Lexmark International Inc | 6,419 | 229,864 | ||||||
Manhattan Associates Inc* | 7,002 | 423,761 | ||||||
MAXIMUS Inc | 6,415 | 377,330 | ||||||
Mentor Graphics Corp | 9,961 | 239,164 | ||||||
Microsemi Corp* | 8,178 | 326,793 | ||||||
MSCI Inc | 8,332 | 750,880 | ||||||
NCR Corp* | 11,933 | 403,932 | ||||||
NetScout Systems Inc* | 8,917 | 263,765 | ||||||
PTC Inc* | 11,112 | 474,149 | ||||||
Rackspace Hosting Inc* | 11,802 | 371,173 | ||||||
Science Applications International Corp | 4,168 | 265,960 | ||||||
Silicon Laboratories Inc* | 3,776 | 216,365 | ||||||
Synaptics Inc* | 2,575 | 146,698 | ||||||
SYNNEX Corp | 2,051 | 217,755 | ||||||
Synopsys Inc* | 14,928 | 885,080 | ||||||
Teradyne Inc | 20,500 | 431,730 |
See accompanying notes to financial statements.
21
S&P MidCap Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Tyler Technologies Inc* | 3,386 | $ | 555,135 | |||||
Ultimate Software Group Inc/The* | 2,718 | 567,899 | ||||||
VeriFone Systems Inc* | 10,831 | 215,104 | ||||||
Total Technology | 16,513,141 | |||||||
Utilities (5.40%) | ||||||||
Aqua America Inc | 16,922 | 514,598 | ||||||
Atmos Energy Corp | 9,617 | 708,773 | ||||||
Black Hills Corp | 4,587 | 268,385 | ||||||
Great Plains Energy Inc | 14,740 | 400,338 | ||||||
Hawaiian Electric Industries Inc | 9,825 | 294,848 | ||||||
IDACORP Inc | 5,182 | 394,195 | ||||||
MDU Resources Group Inc | 18,596 | 438,308 | ||||||
National Fuel Gas Co | 8,065 | 460,189 | ||||||
New Jersey Resources Corp | 5,790 | 194,776 | ||||||
OGE Energy Corp | 19,095 | 594,426 | ||||||
ONE Gas Inc | 5,500 | 336,765 | ||||||
PNM Resources Inc | 8,211 | 261,028 | ||||||
Questar Corp | 16,790 | 419,918 | ||||||
Southwest Gas Corp | 3,218 | 224,681 | ||||||
UGI Corp | 16,518 | 751,239 | ||||||
Vectren Corp | 7,907 | 386,731 | ||||||
Westar Energy Inc (c) | 12,525 | $ | 688,124 | |||||
WGL Holdings Inc | 4,762 | 299,244 | ||||||
Total Utilities | 7,636,566 | |||||||
Total Common Stock (Cost $83,193,337) | 139,721,725 | |||||||
Total Investments (Cost $83,193,337) (a) (98.77%) | 139,721,725 | |||||||
Other Net Assets (1.23%) | 1,735,510 | |||||||
Net Assets (100.00%) | $ | 141,457,235 |
* Non-income producing security.
(a) Aggregate cost for federal income tax purpose is $83,463,604.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 59,077,899 | ||
Unrealized depreciation | (2,819,778 | ) | ||
Net unrealized appreciation | $ | 56,258,121 |
(b) Futures contracts at August 31, 2016:
Contracts - $100 times premium / delivery month / commitment / exchange |
S&P MidCap E-MINI | Value at Trade Date | Notional Value | Unrealized Appreciation | |||||||||
15 / SEP 2016 / Long / CME | $ | 2,336,810 | $ | 2,345,700 | $ | $8,890 |
(c) A portion of these shares have been pledged in connection with obligations for futures contracts. |
S&P SmallCap Index Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (96.66%) | ||||||||
Basic Materials (4.17%) | ||||||||
A Schulman Inc | 2,273 | $ | 57,962 | |||||
Aceto Corp | 2,128 | 42,964 | ||||||
AK Steel Holding Corp* | 14,920 | 66,543 | ||||||
American Vanguard Corp | 1,690 | 28,477 | ||||||
Balchem Corp | 2,644 | 185,159 | ||||||
Calgon Carbon Corp | 4,071 | 59,030 | ||||||
Century Aluminum Co* | 4,083 | 25,641 | ||||||
Clearwater Paper Corp* | 1,452 | 90,126 | ||||||
Deltic Timber Corp | 890 | 63,128 | ||||||
HB Fuller Co | 3,993 | 189,588 | ||||||
Hawkins Inc | 618 | 26,994 | ||||||
Innophos Holdings Inc | 1,783 | 75,278 | ||||||
Innospec Inc | 2,020 | 119,746 | ||||||
Intrepid Potash Inc* | 4,376 | 6,039 | ||||||
Kaiser Aluminum Corp | 1,409 | 120,089 | ||||||
Koppers Holdings Inc* | 1,485 | 48,470 | ||||||
Kraton Performance Polymers Inc* | 2,597 | 93,648 | ||||||
Materion Corp | 1,549 | 45,448 | ||||||
Neenah Paper Inc | 1,306 | 105,042 | ||||||
PH Glatfelter Co | 3,442 | 76,309 | ||||||
Quaker Chemical Corp | 1,053 | 105,300 | ||||||
Rayonier Advanced Materials Inc | 3,333 | 40,996 | ||||||
Schweitzer-Mauduit International Inc | 2,492 | 97,886 | ||||||
Stepan Co | 1,428 | 100,331 | ||||||
Stillwater Mining Co* | 9,544 | 120,732 | ||||||
Chemours Co/The | 15,183 | 200,264 | ||||||
US Silica Holdings Inc | 4,272 | 167,676 | ||||||
Total Basic Materials | 2,358,866 | |||||||
Communications (4.38%) | ||||||||
ATN International Inc | 792 | $ | 51,749 | |||||
8x8 Inc* | 7,490 | 99,392 | ||||||
ADTRAN Inc | 4,158 | 76,424 | ||||||
Black Box Corp | 1,103 | 15,387 | ||||||
Blucora Inc* | 3,365 | 34,828 | ||||||
Blue Nile Inc | 1,051 | 36,217 | ||||||
CalAmp Corp* | 2,670 | 38,929 | ||||||
Cincinnati Bell Inc* | 16,654 | 69,614 | ||||||
Cogent Communications Holdings Inc | 3,329 | 118,313 | ||||||
Comtech Telecommunications Corp | 1,234 | 15,906 | ||||||
Consolidated Communications Holdings Inc | 4,237 | 101,900 | ||||||
DHI Group Inc* | 3,715 | 28,754 | ||||||
ePlus Inc* | 489 | 44,259 | ||||||
FTD Cos Inc* | 1,338 | 31,443 | ||||||
Gannett Co Inc | 9,650 | 115,125 | ||||||
General Communication Inc* | 2,942 | 40,894 | ||||||
Harmonic Inc* | 6,732 | 29,217 | ||||||
Harte-Hanks Inc | 3,096 | 5,016 | ||||||
HealthStream Inc* | 1,640 | 43,608 | ||||||
Iridium Communications Inc* | 6,143 | 51,171 | ||||||
Ixia* | 4,496 | 51,839 | ||||||
Liquidity Services Inc* | 1,721 | 17,210 | ||||||
LogMeIn Inc | 2,102 | 175,517 | ||||||
Lumos Networks Corp* | 1,433 | 19,704 | ||||||
NETGEAR Inc* | 2,643 | 150,651 | ||||||
NIC Inc | 5,119 | 117,635 | ||||||
Perficient Inc* | 2,489 | 49,705 | ||||||
QuinStreet Inc* | 1,826 | 5,588 | ||||||
Scholastic Corp | 1,985 | 79,916 | ||||||
Sizmek Inc* | 1,808 | 6,997 | ||||||
Spok Holdings Inc | 1,400 | 23,170 | ||||||
Stamps.com Inc* | 1,253 | $ | 121,190 | |||||
EW Scripps Co/The* | 3,970 | 67,450 | ||||||
VASCO Data Security International Inc* | 2,046 | 37,299 | ||||||
ViaSat Inc (c)* | 3,734 | 280,198 | ||||||
Viavi Solutions Inc* | 18,087 | 140,717 | ||||||
World Wrestling Entertainment Inc | 2,870 | 59,610 | ||||||
XO Group Inc* | 1,600 | 29,824 | ||||||
Total Communications | 2,482,366 | |||||||
Consumer, Cyclical (13.33%) | ||||||||
Allegiant Travel Co | 1,101 | 152,202 | ||||||
American Woodmark Corp* | 1,147 | 99,789 | ||||||
Anixter International Inc* | 2,378 | 152,049 | ||||||
Arctic Cat Inc | 1,013 | 14,354 | ||||||
Asbury Automotive Group Inc* | 2,129 | 114,370 | ||||||
Barnes & Noble Education Inc* | 3,275 | 36,647 | ||||||
Barnes & Noble Inc | 4,767 | 54,630 | ||||||
Belmond Ltd* | 7,421 | 82,893 | ||||||
Big 5 Sporting Goods Corp | 1,300 | 16,263 | ||||||
Biglari Holdings Inc* | 103 | 45,381 | ||||||
BJ's Restaurants Inc* | 1,655 | 65,737 | ||||||
Bob Evans Farms Inc/DE | 1,840 | 75,440 | ||||||
Boyd Gaming Corp* | 6,707 | 130,787 | ||||||
Caleres Inc | 3,667 | 95,122 | ||||||
Callaway Golf Co | 7,544 | 86,152 | ||||||
Cash America International Inc | 2,136 | 92,980 | ||||||
Children's Place Inc/The | 1,609 | 130,973 | ||||||
Core-Mark Holding Co Inc | 3,868 | 147,564 | ||||||
Crocs Inc* | 6,057 | 52,332 | ||||||
Daktronics Inc | 2,848 | 27,141 | ||||||
DineEquity Inc | 1,291 | 100,685 | ||||||
Dorman Products Inc* | 2,417 | 152,440 | ||||||
DTS Inc/CA | 1,151 | 38,512 |
See accompanying notes to financial statements.
22
S&P SmallCap Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Essendant Inc | 2,929 | $ | 56,735 | |||||
Ethan Allen Interiors Inc | 1,913 | 64,009 | ||||||
Express Inc* | 6,031 | 71,347 | ||||||
EZCORP Inc* | 3,771 | 39,030 | ||||||
Finish Line Inc/The | 3,854 | 92,766 | ||||||
FirstCash Inc | 2,306 | 119,266 | ||||||
Five Below Inc* | 4,574 | 203,816 | ||||||
Francesca's Holdings Corp* | 3,184 | 43,462 | ||||||
Fred's Inc | 2,610 | 29,519 | ||||||
G&K Services Inc | 1,592 | 154,949 | ||||||
Gaming and Leisure Properties Inc | 4,340 | 148,471 | ||||||
Genesco Inc* | 1,901 | 138,089 | ||||||
Gentherm Inc* | 3,037 | 100,130 | ||||||
G-III Apparel Group Ltd* | 3,361 | 106,107 | ||||||
Group 1 Automotive Inc | 1,718 | 101,946 | ||||||
Haverty Furniture Cos Inc | 1,506 | 30,120 | ||||||
Hawaiian Holdings Inc* | 3,973 | 186,652 | ||||||
Hibbett Sports Inc* | 2,017 | 77,392 | ||||||
Iconix Brand Group Inc* | 3,635 | 30,534 | ||||||
Installed Building Products Inc* | 1,394 | 46,532 | ||||||
Interface Inc | 5,524 | 97,664 | ||||||
Interval Leisure Group Inc | 2,925 | 50,895 | ||||||
iRobot Corp* | 2,156 | 85,938 | ||||||
Kirkland's Inc* | 1,134 | 14,209 | ||||||
La-Z-Boy Inc | 4,175 | 111,347 | ||||||
Lithia Motors Inc | 1,987 | 164,464 | ||||||
Lumber Liquidators Holdings Inc* | 2,055 | 32,387 | ||||||
M/I Homes Inc* | 1,832 | 42,392 | ||||||
Marcus Corp/The | 1,435 | 33,866 | ||||||
MarineMax Inc* | 1,746 | 34,623 | ||||||
Marriott Vacations Worldwide Corp | 2,123 | 163,683 | ||||||
Meritage Homes Corp* | 2,930 | 105,187 | ||||||
Mobile Mini Inc | 3,756 | 112,304 | ||||||
Monarch Casino & Resort Inc* | 600 | 14,274 | ||||||
Motorcar Parts of America Inc* | 1,536 | 43,668 | ||||||
Movado Group Inc | 1,360 | 30,872 | ||||||
Outerwall Inc | 1,497 | 77,784 | ||||||
Oxford Industries Inc | 1,152 | 71,896 | ||||||
Papa John's International Inc | 2,235 | 167,245 | ||||||
Perry Ellis International Inc* | 700 | 13,048 | ||||||
PetMed Express Inc | 1,300 | 26,208 | ||||||
Pinnacle Entertainment Inc* | 5,106 | 61,476 | ||||||
Popeyes Louisiana Kitchen Inc* | 1,798 | 98,045 | ||||||
Red Robin Gourmet Burgers Inc* | 1,127 | 56,643 | ||||||
Regis Corp* | 3,353 | 42,147 | ||||||
Republic Airways Holdings Inc* | 3,901 | 3,784 | ||||||
Ruby Tuesday Inc* | 4,509 | 13,707 | ||||||
Ruth's Hospitality Group Inc | 2,518 | 37,669 | ||||||
ScanSource Inc* | 2,274 | 77,794 | ||||||
Scientific Games Corp* | 3,874 | 31,961 | ||||||
Select Comfort Corp* | 4,000 | 105,000 | ||||||
SkyWest Inc | 4,099 | 115,715 | ||||||
Sonic Automotive Inc | 2,552 | 43,486 | ||||||
Sonic Corp | 4,191 | 120,240 | ||||||
Stage Stores Inc | 2,706 | 14,558 | ||||||
Standard Motor Products Inc | 1,648 | 73,847 | ||||||
Stein Mart Inc | 2,099 | 16,876 | ||||||
Steven Madden Ltd* | 4,724 | 165,765 | ||||||
Superior Industries International Inc | 1,678 | 48,847 | ||||||
Tailored Brands Inc | 3,470 | 45,735 | ||||||
Texas Roadhouse Inc | 5,296 | 234,454 | ||||||
Buckle Inc/The | 2,109 | 54,349 | ||||||
Cato Corp/The | 2,147 | $ | 73,599 | |||||
Titan International Inc | 4,154 | 38,175 | ||||||
Tuesday Morning Corp* | 2,971 | 19,817 | ||||||
Unifi Inc* | 1,118 | 29,102 | ||||||
UniFirst Corp/MA | 1,214 | 155,865 | ||||||
Universal Electronics Inc* | 1,149 | 85,060 | ||||||
Veritiv Corp* | 630 | 32,319 | ||||||
Vitamin Shoppe Inc* | 2,435 | 67,498 | ||||||
VOXX International Corp* | 1,050 | 3,224 | ||||||
Winnebago Industries Inc | 2,101 | 50,571 | ||||||
Wolverine World Wide Inc | 8,631 | 206,366 | ||||||
Zumiez Inc* | 1,661 | 27,739 | ||||||
Total Consumer, Cyclical | 7,550,702 | |||||||
Consumer, Non-Cyclical (18.75%) | ||||||||
ABM Industries Inc | 4,712 | 181,082 | ||||||
AMN Healthcare Services Inc* | 3,698 | 133,979 | ||||||
ANI Pharmaceuticals Inc* | 638 | 38,114 | ||||||
Abaxis Inc | 1,625 | 81,478 | ||||||
ABIOMED Inc (c)* | 3,273 | 386,017 | ||||||
Acorda Therapeutics Inc* | 3,620 | 87,170 | ||||||
Adeptus Health Inc* | 1,004 | 42,730 | ||||||
Air Methods Corp* | 2,808 | 98,785 | ||||||
Albany Molecular Research Inc* | 2,263 | 33,538 | ||||||
Almost Family Inc* | 422 | 15,542 | ||||||
Amedisys Inc* | 2,589 | 124,609 | ||||||
American Public Education Inc* | 1,343 | 27,760 | ||||||
Analogic Corp | 1,042 | 92,738 | ||||||
Andersons Inc/The | 2,002 | 73,974 | ||||||
AngioDynamics Inc* | 1,997 | 33,030 | ||||||
Anika Therapeutics Inc* | 1,228 | 58,011 | ||||||
Aptevo Therapeutics Inc* | 1,274 | 3,465 | ||||||
B&G Foods Inc (c) | 4,863 | 230,895 | ||||||
Brink's Co/The | 3,780 | 137,970 | ||||||
CDI Corp | 1,083 | 6,173 | ||||||
Cal-Maine Foods Inc | 2,602 | 119,536 | ||||||
Calavo Growers Inc | 1,239 | 73,039 | ||||||
Cambrex Corp* | 2,432 | 104,163 | ||||||
Cantel Medical Corp | 3,001 | 226,905 | ||||||
Capella Education Co | 825 | 48,609 | ||||||
Career Education Corp* | 3,636 | 23,779 | ||||||
Central Garden & Pet Co* | 829 | 21,289 | ||||||
Central Garden & Pet Co* | 2,740 | 66,445 | ||||||
Chemed Corp | 1,416 | 191,061 | ||||||
CONMED Corp | 2,170 | 88,536 | ||||||
CorVel Corp* | 665 | 25,563 | ||||||
Cross Country Healthcare Inc* | 2,732 | 33,248 | ||||||
CryoLife Inc | 1,813 | 28,917 | ||||||
Cynosure Inc* | 1,906 | 99,284 | ||||||
Darling Ingredients Inc* | 13,108 | 184,561 | ||||||
Depomed Inc* | 4,634 | 94,024 | ||||||
Emergent BioSolutions Inc* | 2,548 | 67,904 | ||||||
Enanta Pharmaceuticals Inc* | 895 | 19,681 | ||||||
Ensign Group Inc/The | 4,002 | 75,198 | ||||||
Forrester Research Inc | 996 | 40,816 | ||||||
Global Payments Inc | 2,061 | 156,533 | ||||||
Green Dot Corp* | 3,947 | 91,570 | ||||||
HMS Holdings Corp* | 6,839 | 149,159 | ||||||
Haemonetics Corp* | 4,139 | 153,805 | ||||||
Hanger Inc* | 2,615 | 23,797 | ||||||
Healthcare Services Group Inc | 6,037 | 243,714 | ||||||
Healthways Inc* | 2,801 | 70,053 | ||||||
HealthEquity Inc* | 2,631 | 85,665 | ||||||
Heidrick & Struggles International Inc | 1,449 | 27,082 | ||||||
ICU Medical Inc* | 1,206 | 150,473 | ||||||
Impax Laboratories Inc* | 5,560 | $ | 134,496 | |||||
Insperity Inc | 1,367 | 89,607 | ||||||
Inogen Inc* | 1,203 | 69,798 | ||||||
Integra LifeSciences Holdings Corp* | 2,420 | 209,136 | ||||||
Integer Holdings Corp* | 1,966 | 47,577 | ||||||
Inter Parfums Inc | 1,357 | 46,369 | ||||||
Invacare Corp | 2,104 | 24,974 | ||||||
J&J Snack Foods Corp | 1,163 | 141,886 | ||||||
Kelly Services Inc | 2,051 | 39,215 | ||||||
Kindred Healthcare Inc | 6,343 | 70,027 | ||||||
Korn/Ferry International | 3,967 | 94,573 | ||||||
LHC Group Inc* | 1,000 | 35,560 | ||||||
Landauer Inc | 760 | 36,115 | ||||||
Lannett Co Inc* | 2,208 | 74,763 | ||||||
LendingTree Inc* | 495 | 48,015 | ||||||
Ligand Pharmaceuticals Inc* | 1,521 | 157,135 | ||||||
Luminex Corp* | 2,720 | 57,310 | ||||||
Magellan Health Inc* | 2,025 | 115,668 | ||||||
Masimo Corp* | 3,725 | 220,297 | ||||||
Matthews International Corp | 2,758 | 169,645 | ||||||
Medicines Co/The* | 5,825 | 228,165 | ||||||
Medifast Inc | 932 | 34,270 | ||||||
Meridian Bioscience Inc | 3,315 | 64,477 | ||||||
Merit Medical Systems Inc* | 3,708 | 89,882 | ||||||
MiMedx Group Inc* | 7,384 | 53,460 | ||||||
Momenta Pharmaceuticals Inc* | 4,593 | 55,208 | ||||||
Monro Muffler Brake Inc | 2,682 | 151,292 | ||||||
Monster Worldwide Inc* | 8,505 | 31,128 | ||||||
Natus Medical Inc* | 2,546 | 99,065 | ||||||
Navigant Consulting Inc* | 3,915 | 76,891 | ||||||
Nektar Therapeutics* | 11,195 | 199,831 | ||||||
Neogen Corp* | 3,135 | 185,153 | ||||||
Nutrisystem Inc | 2,287 | 65,911 | ||||||
NuVasive Inc* | 4,118 | 269,605 | ||||||
Nuvectra Corp* | 655 | 4,487 | ||||||
On Assignment Inc* | 3,705 | 139,716 | ||||||
PharMerica Corp* | 2,371 | 59,891 | ||||||
Phibro Animal Health Corp | 1,518 | 36,842 | ||||||
Prestige Brands Holdings Inc* | 4,425 | 212,975 | ||||||
Providence Service Corp/The* | 925 | 43,595 | ||||||
Repligen Corp* | 2,393 | 74,159 | ||||||
Rent-A-Center Inc/TX | 4,452 | 54,403 | ||||||
Resources Connection Inc | 2,990 | 45,119 | ||||||
Sanderson Farms Inc | 1,620 | 155,893 | ||||||
Select Medical Holdings Corp* | 8,804 | 104,592 | ||||||
Seneca Foods Corp* | 660 | 19,470 | ||||||
Snyder's-Lance Inc | 6,117 | 216,174 | ||||||
SpartanNash Co | 3,009 | 96,348 | ||||||
Spectrum Pharmaceuticals Inc* | 3,664 | 19,456 | ||||||
Strayer Education Inc* | 818 | 39,820 | ||||||
Supernus Pharmaceuticals Inc* | 2,213 | 47,314 | ||||||
Surgical Care Affiliates Inc* | 2,258 | 93,143 | ||||||
Surmodics Inc* | 809 | 23,032 | ||||||
TrueBlue Inc* | 3,279 | 71,646 | ||||||
US Physical Therapy Inc | 1,042 | 65,698 | ||||||
Universal Corp/VA | 1,760 | 105,899 | ||||||
Universal Technical Institute Inc | 1,300 | 2,964 | ||||||
Vascular Solutions Inc* | 1,188 | 57,226 | ||||||
Viad Corp | 1,409 | 50,386 | ||||||
WD-40 Co | 1,126 | 133,262 | ||||||
Zeltiq Aesthetics Inc* | 2,684 | 102,314 | ||||||
Cardtronics PLC* | 3,767 | 169,176 | ||||||
Helen of Troy Ltd* | 2,357 | 212,931 | ||||||
Total Consumer, Non-Cyclical | 10,615,904 |
See accompanying notes to financial statements.
23
S&P SmallCap Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Energy (2.32%) | ||||||||
Archrock Inc | 4,618 | $ | 50,890 | |||||
Atwood Oceanics Inc | 4,881 | 38,560 | ||||||
Basic Energy Services Inc* | 2,136 | 792 | ||||||
Bill Barrett Corp* | 3,854 | 25,591 | ||||||
Bonanza Creek Energy Inc* | 2,994 | 3,054 | ||||||
Bristow Group Inc | 2,639 | 30,111 | ||||||
CARBO Ceramics Inc | 1,539 | 19,284 | ||||||
Carrizo Oil & Gas Inc* | 4,550 | 174,220 | ||||||
Cloud Peak Energy Inc* | 4,772 | 19,708 | ||||||
Contango Oil & Gas Co* | 1,147 | 11,080 | ||||||
Era Group Inc* | 1,546 | 11,270 | ||||||
Exterran Corp* | 2,309 | 32,626 | ||||||
Flotek Industries Inc* | 3,643 | 56,467 | ||||||
FutureFuel Corp | 1,732 | 20,247 | ||||||
Geospace Technologies Corp* | 1,047 | 18,500 | ||||||
Green Plains Inc | 2,507 | 60,870 | ||||||
Gulf Island Fabrication Inc | 900 | 7,920 | ||||||
Gulfmark Offshore Inc* | 1,980 | 4,257 | ||||||
Helix Energy Solutions Group Inc* | 8,281 | 62,108 | ||||||
Matrix Service Co* | 1,964 | 36,314 | ||||||
Newpark Resources Inc* | 6,584 | 46,483 | ||||||
Northern Oil and Gas Inc* | 4,291 | 13,903 | ||||||
PDC Energy Inc* | 3,362 | 223,236 | ||||||
Pioneer Energy Services Corp* | 4,989 | 16,613 | ||||||
REX American Resources Corp* | 376 | 30,245 | ||||||
Rex Energy Corp* | 3,842 | 2,228 | ||||||
SEACOR Holdings Inc* | 1,309 | 76,943 | ||||||
SunCoke Energy Inc | 5,562 | 36,264 | ||||||
Stone Energy Corp* | 441 | 4,833 | ||||||
Synergy Resources Corp* | 9,430 | 61,767 | ||||||
Tesco Corp | 2,282 | 15,540 | ||||||
TETRA Technologies Inc* | 6,294 | 38,079 | ||||||
Unit Corp* | 3,620 | 61,866 | ||||||
Total Energy | 1,311,869 | |||||||
Financial (23.17%) | ||||||||
Acadia Realty Trust (c) | 5,790 | 213,882 | ||||||
Agree Realty Corp | 1,624 | 77,936 | ||||||
American Assets Trust Inc (c) | 3,309 | 146,589 | ||||||
American Equity Investment Life Holding Co | 6,841 | 120,538 | ||||||
AMERISAFE Inc | 1,485 | 89,115 | ||||||
Ameris Bancorp | 2,160 | 75,211 | ||||||
Astoria Financial Corp | 7,609 | 116,418 | ||||||
BB&T Corp | 2,279 | 87,742 | ||||||
BofI Holding Inc* | 4,808 | 103,372 | ||||||
Bank Mutual Corp | 3,500 | 27,300 | ||||||
Banner Corp | 1,468 | 65,003 | ||||||
Boston Private Financial Holdings Inc | 6,381 | 82,187 | ||||||
Brookline Bancorp Inc | 4,990 | 59,581 | ||||||
CVB Financial Corp | 8,298 | 147,621 | ||||||
Calamos Asset Management Inc | 1,436 | 10,038 | ||||||
Capstead Mortgage Corp | 7,205 | 71,474 | ||||||
Cardinal Financial Corp | 2,277 | 61,137 | ||||||
CareTrust REIT Inc | 4,039 | 60,020 | ||||||
Cedar Realty Trust Inc | 5,432 | 41,120 | ||||||
Central Pacific Financial Corp | 2,628 | 67,251 | ||||||
Chesapeake Lodging Trust | 5,004 | 127,502 | ||||||
City Holding Co | 1,180 | 59,696 | ||||||
Columbia Banking System Inc | 4,843 | 160,013 | ||||||
Community Bank System Inc | 3,647 | 173,050 | ||||||
CoreSite Realty Corp | 2,570 | 200,511 | ||||||
Cousins Properties Inc | 17,109 | 188,541 | ||||||
DiamondRock Hospitality Co | 16,841 | $ | 178,346 | |||||
Dime Community Bancshares Inc | 2,343 | 41,377 | ||||||
EastGroup Properties Inc | 2,697 | 197,906 | ||||||
Education Realty Trust Inc | 5,109 | 231,489 | ||||||
eHealth Inc* | 1,639 | 18,422 | ||||||
Employers Holdings Inc | 2,392 | 72,884 | ||||||
Encore Capital Group Inc* | 1,870 | 40,317 | ||||||
Enova International Inc* | 1,954 | 18,739 | ||||||
Evercore Partners Inc | 3,316 | 169,912 | ||||||
Financial Engines Inc | 4,069 | 130,086 | ||||||
First BanCorp/Puerto Rico* | 8,093 | 39,656 | ||||||
First Commonwealth Financial Corp | 7,457 | 76,136 | ||||||
First Financial Bancorp | 4,588 | 100,018 | ||||||
First Financial Bankshares Inc | 5,534 | 202,654 | ||||||
First Midwest Bancorp Inc/IL | 6,005 | 117,518 | ||||||
First NBC Bank Holding Co* | 1,224 | 15,985 | ||||||
Forestar Group Inc* | 2,556 | 32,078 | ||||||
Four Corners Property Trust Inc | 3,229 | 66,873 | ||||||
Franklin Street Properties Corp | 6,954 | 87,342 | ||||||
GEO Group Inc/The (c) | 6,187 | 123,987 | ||||||
Getty Realty Corp | 2,158 | 50,778 | ||||||
Glacier Bancorp Inc | 6,383 | 191,107 | ||||||
Government Properties Income Trust | 5,967 | 139,031 | ||||||
Greenhill & Co Inc | 2,083 | 47,784 | ||||||
HCI Group Inc | 756 | 24,033 | ||||||
HFF Inc | 2,644 | 70,886 | ||||||
Hanmi Financial Corp | 2,533 | 66,441 | ||||||
Healthcare Realty Trust Inc (c) | 8,443 | 296,012 | ||||||
Home BancShares Inc/AR | 10,232 | 239,428 | ||||||
Hope Bancorp Inc | 10,149 | 174,563 | ||||||
Horace Mann Educators Corp | 3,236 | 118,276 | ||||||
Independent Bank Corp/Rockland MA | 2,201 | 116,609 | ||||||
Infinity Property & Casualty Corp | 917 | 77,266 | ||||||
Interactive Brokers Group Inc | 4,861 | 174,413 | ||||||
INTL. FCStone Inc* | 1,292 | 46,538 | ||||||
Investment Technology Group Inc | 2,751 | 42,310 | ||||||
Kite Realty Group Trust | 6,990 | 201,871 | ||||||
LTC Properties Inc | 2,776 | 144,130 | ||||||
LegacyTexas Financial Group Inc | 3,676 | 111,493 | ||||||
Lexington Realty Trust | 16,403 | 176,988 | ||||||
MB Financial Inc | 5,811 | 227,675 | ||||||
Medical Properties Trust Inc | 19,953 | 304,682 | ||||||
NBT Bancorp Inc | 3,500 | 113,015 | ||||||
Navigators Group Inc/The | 800 | 75,168 | ||||||
Northfield Bancorp Inc | 3,623 | 57,569 | ||||||
Northwest Bancshares Inc | 8,537 | 132,494 | ||||||
OFG Bancorp | 3,471 | 37,869 | ||||||
Old National Bancorp/IN | 9,607 | 136,035 | ||||||
Oritani Financial Corp | 2,767 | 44,466 | ||||||
PRA Group Inc* | 4,044 | 129,327 | ||||||
PS Business Parks Inc | 1,606 | 177,913 | ||||||
Parkway Properties Inc/Md | 6,836 | 123,048 | ||||||
Pennsylvania Real Estate Investment Trust | 5,804 | 145,622 | ||||||
Pinnacle Financial Partners Inc | 2,947 | 167,065 | ||||||
Piper Jaffray Cos* | 1,290 | 57,250 | ||||||
ProAssurance Corp | 4,458 | 245,279 | ||||||
PrivateBancorp Inc | 6,631 | 304,694 | ||||||
Provident Financial Services Inc | 4,937 | 106,491 | ||||||
RLI Corp | 3,166 | 224,723 | ||||||
RE/MAX Holdings Inc | 1,412 | 58,796 | ||||||
Retail Opportunity Investments Corp | 8,346 | $ | 186,199 | |||||
S&T Bancorp Inc | 2,920 | 83,950 | ||||||
Sabra Health Care REIT Inc | 5,031 | 128,190 | ||||||
Safety Insurance Group Inc | 1,100 | 73,095 | ||||||
Saul Centers Inc | 1,009 | 66,877 | ||||||
Selective Insurance Group Inc | 4,798 | 191,440 | ||||||
Simmons First National Corp | 2,361 | 118,499 | ||||||
Southside Bancshares Inc | 1,902 | 62,481 | ||||||
Sterling Bancorp/DE | 10,013 | 178,732 | ||||||
Stewart Information Services Corp | 1,865 | 85,380 | ||||||
Summit Hotel Properties Inc | 6,699 | 95,796 | ||||||
Talmer Bancorp Inc | 5,270 | 122,580 | ||||||
Texas Capital Bancshares Inc* | 3,846 | 201,992 | ||||||
Tompkins Financial Corp | 1,025 | 75,778 | ||||||
TrustCo Bank Corp NY | 6,679 | 47,688 | ||||||
UMB Financial Corp | 3,515 | 213,712 | ||||||
United Community Banks Inc/GA | 4,877 | 102,319 | ||||||
United Bankshares Inc/WV | 5,430 | 213,942 | ||||||
United Fire Group Inc | 1,500 | 64,815 | ||||||
United Insurance Holdings Corp | 1,293 | 20,365 | ||||||
Universal Health Realty Income Trust | 1,025 | 63,130 | ||||||
Universal Insurance Holdings Inc | 2,216 | 54,912 | ||||||
Urstadt Biddle Properties Inc | 1,911 | 43,399 | ||||||
Virtus Investment Partners Inc | 559 | 50,981 | ||||||
WageWorks Inc* | 3,015 | 186,297 | ||||||
Walker & Dunlop Inc* | 2,126 | 56,339 | ||||||
Westamerica Bancorporation | 1,993 | 101,324 | ||||||
Wintrust Financial Corp | 4,057 | 225,487 | ||||||
World Acceptance Corp* | 687 | 33,052 | ||||||
Total Financial | 13,122,462 | |||||||
Industrial (16.90%) | ||||||||
AAR Corp | 2,949 | 72,575 | ||||||
Actuant Corp | 4,684 | 111,620 | ||||||
Advanced Energy Industries Inc* | 3,443 | 151,319 | ||||||
Aegion Corp* | 2,910 | 53,893 | ||||||
Aerojet Rocketdyne Holdings Inc* | 5,386 | 96,786 | ||||||
Aerovironment Inc* | 1,484 | 36,714 | ||||||
Albany International Corp | 2,416 | 102,269 | ||||||
American Science & Engineering Inc | 603 | 22,190 | ||||||
Apogee Enterprises Inc | 2,440 | 118,096 | ||||||
Applied Industrial Technologies Inc | 3,348 | 159,097 | ||||||
ArcBest Corp | 1,834 | 33,581 | ||||||
Astec Industries Inc | 1,495 | 87,891 | ||||||
Atlas Air Worldwide Holdings Inc* | 1,868 | 69,378 | ||||||
AZZ Inc | 2,163 | 143,688 | ||||||
Badger Meter Inc | 1,149 | 75,823 | ||||||
Barnes Group Inc | 4,329 | 178,961 | ||||||
Bel Fuse Inc | 579 | 13,300 | ||||||
Benchmark Electronics Inc* | 4,413 | 106,442 | ||||||
Boise Cascade Co* | 3,053 | 80,111 | ||||||
Brady Corp | 3,802 | 127,329 | ||||||
Briggs & Stratton Corp | 3,633 | 69,063 | ||||||
Celadon Group Inc | 1,713 | 13,379 | ||||||
Chart Industries Inc* | 2,359 | 71,053 | ||||||
CIRCOR International Inc | 1,405 | 82,979 | ||||||
Coherent Inc* | 1,981 | 208,362 | ||||||
Comfort Systems USA Inc | 2,808 | 79,719 | ||||||
CTS Corp | 2,535 | 48,875 |
See accompanying notes to financial statements.
24
S&P SmallCap Index Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Security Description | Shares | Value | ||||||
Cubic Corp | 1,666 | $ | 78,002 | |||||
Drew Industries Inc | 2,025 | 206,246 | ||||||
DXP Enterprises Inc* | 844 | 23,708 | ||||||
Dycom Industries Inc* | 2,696 | 218,700 | ||||||
Echo Global Logistics Inc* | 1,817 | 46,879 | ||||||
Electro Scientific Industries Inc* | 2,066 | 11,508 | ||||||
EMCOR Group Inc (c) | 5,262 | 301,302 | ||||||
Encore Wire Corp | 1,733 | 67,102 | ||||||
EnerSys | 3,724 | 262,094 | ||||||
EnPro Industries Inc | 1,812 | 97,667 | ||||||
ESCO Technologies Inc | 1,989 | 89,744 | ||||||
Exponent Inc | 2,026 | 102,171 | ||||||
Fabrinet* | 2,551 | 99,030 | ||||||
FARO Technologies Inc* | 1,287 | 41,956 | ||||||
Federal Signal Corp | 5,009 | 65,668 | ||||||
Forward Air Corp | 2,451 | 112,942 | ||||||
Franklin Electric Co Inc | 3,119 | 119,302 | ||||||
General Cable Corp | 3,928 | 63,359 | ||||||
Gibraltar Industries Inc* | 2,171 | 82,845 | ||||||
Griffon Corp | 3,366 | 57,626 | ||||||
Harsco Corp | 6,186 | 61,551 | ||||||
Haynes International Inc | 988 | 36,447 | ||||||
Headwaters Inc* | 6,199 | 112,388 | ||||||
Heartland Express Inc | 5,072 | 96,520 | ||||||
Hillenbrand Inc | 5,030 | 161,715 | ||||||
Hornbeck Offshore Services Inc* | 2,592 | 14,178 | ||||||
Hub Group Inc* | 2,780 | 113,285 | ||||||
II-VI Inc* | 4,346 | 92,092 | ||||||
Itron Inc* | 2,970 | 141,461 | ||||||
John Bean Technologies Corp | 2,444 | 167,854 | ||||||
Kaman Corp | 2,142 | 96,154 | ||||||
KapStone Paper and Packaging Corp | 6,415 | 112,327 | ||||||
Knight Transportation Inc | 4,825 | 135,583 | ||||||
Lindsay Corp | 1,030 | 74,119 | ||||||
Littelfuse Inc | 1,791 | 227,099 | ||||||
LSB Industries Inc* | 1,435 | 17,220 | ||||||
Lydall Inc* | 1,260 | 60,530 | ||||||
Marten Transport Ltd | 1,841 | 39,710 | ||||||
Matson Inc | 3,425 | 132,171 | ||||||
Methode Electronics Inc | 3,227 | 118,270 | ||||||
Moog Inc* | 2,795 | 164,877 | ||||||
Mueller Industries Inc | 4,795 | 165,715 | ||||||
Myers Industries Inc | 1,890 | 27,122 | ||||||
MYR Group Inc* | 1,615 | 46,835 | ||||||
National Presto Industries Inc | 327 | 28,534 | ||||||
Olympic Steel Inc | 500 | 9,665 | ||||||
Orion Group Holdings Inc* | 1,870 | 11,145 | ||||||
OSI Systems Inc* | 1,494 | 100,188 | ||||||
Park Electrochemical Corp | 1,665 | 27,539 | ||||||
PGT Inc* | 4,081 | 48,605 | ||||||
Plexus Corp* | 2,707 | 124,928 | ||||||
Powell Industries Inc | 737 | 29,296 | ||||||
Quanex Building Products Corp | 2,706 | 52,307 | ||||||
Roadrunner Transportation Systems Inc* | 1,931 | 16,105 | ||||||
Rofin-Sinar Technologies Inc* | 2,059 | 65,909 | ||||||
Rogers Corp* | 1,426 | 79,728 | ||||||
Saia Inc* | 1,827 | 55,596 | ||||||
Sanmina Corp* | 6,474 | 170,137 | ||||||
Simpson Manufacturing Co Inc | 3,278 | 143,839 | ||||||
SPX Corp* | 3,423 | 64,832 | ||||||
SPX FLOW Inc* | 3,447 | 101,376 | ||||||
Standex International Corp | 1,018 | 85,705 | ||||||
Sturm Ruger & Co Inc | 1,455 | 89,177 | ||||||
TASER International Inc* | 3,987 | 107,968 | ||||||
Tennant Co | 1,475 | $ | 95,477 | |||||
Tetra Tech Inc | 4,683 | 165,310 | ||||||
Greenbrier Cos Inc/The | 2,183 | 73,982 | ||||||
Tidewater Inc | 3,632 | 11,877 | ||||||
TimkenSteel Corp | 2,904 | 28,604 | ||||||
TopBuild Corp* | 2,983 | 101,780 | ||||||
Tredegar Corp | 1,893 | 35,664 | ||||||
Trex Co Inc* | 2,498 | 154,726 | ||||||
TTM Technologies Inc* | 4,103 | 44,025 | ||||||
Universal Forest Products Inc | 1,591 | 173,658 | ||||||
US Concrete Inc* | 1,118 | 59,276 | ||||||
US Ecology Inc | 1,683 | 75,499 | ||||||
Vicor Corp* | 1,051 | 11,466 | ||||||
Watts Water Technologies Inc | 2,282 | 146,961 | ||||||
Total Industrial | 9,568,451 | |||||||
Technology (9.41%) | ||||||||
Agilysys Inc* | 1,491 | 16,476 | ||||||
Blackbaud Inc | 3,866 | 260,452 | ||||||
Bottomline Technologies de Inc* | 2,973 | 68,647 | ||||||
Brocade Communications Systems Inc | 5,580 | 50,108 | ||||||
Brooks Automation Inc | 5,212 | 65,723 | ||||||
CSG Systems International Inc | 2,543 | 111,180 | ||||||
Cabot Microelectronics Corp | 1,949 | 96,904 | ||||||
CACI International Inc* | 2,033 | 201,998 | ||||||
Cavium Inc* | 631 | 35,146 | ||||||
CEVA Inc* | 1,529 | 48,133 | ||||||
Ciber Inc* | 5,122 | 6,198 | ||||||
Cirrus Logic Inc* | 5,343 | 271,157 | ||||||
Cohu Inc | 1,484 | 16,131 | ||||||
Computer Programs & Systems Inc | 791 | 20,424 | ||||||
Cray Inc* | 3,405 | 77,975 | ||||||
DSP Group Inc* | 1,496 | 17,264 | ||||||
Digi International Inc* | 1,689 | 19,373 | ||||||
Diodes Inc* | 2,906 | 59,835 | ||||||
Epiq Systems Inc | 2,381 | 39,096 | ||||||
Ebix Inc | 2,228 | 126,996 | ||||||
Electronics For Imaging Inc* | 3,746 | 176,362 | ||||||
Engility Holdings Inc* | 1,374 | 41,220 | ||||||
Exar Corp* | 3,573 | 32,514 | ||||||
ExlService Holdings Inc* | 2,764 | 141,462 | ||||||
Insight Enterprises Inc* | 3,311 | 101,317 | ||||||
Interactive Intelligence Group Inc* | 1,258 | 75,291 | ||||||
Kopin Corp* | 3,225 | 6,966 | ||||||
Kulicke & Soffa Industries Inc* | 6,095 | 74,542 | ||||||
LivePerson Inc* | 3,930 | 30,615 | ||||||
Lumentum Holdings Inc* | 3,617 | 127,029 | ||||||
MKS Instruments Inc | 4,259 | 207,584 | ||||||
MTS Systems Corp | 1,174 | 58,407 | ||||||
ManTech International Corp/VA | 1,891 | 75,716 | ||||||
Medidata Solutions Inc (c)* | 4,645 | 251,295 | ||||||
Mercury Systems Inc* | 2,653 | 60,170 | ||||||
MicroStrategy Inc* | 782 | 130,430 | ||||||
Monolithic Power Systems Inc | 3,050 | 233,996 | ||||||
Monotype Imaging Holdings Inc | 2,918 | 61,570 | ||||||
Nanometrics Inc* | 1,800 | 36,612 | ||||||
Omnicell Inc* | 2,621 | 98,497 | ||||||
Power Integrations Inc | 2,413 | 140,919 | ||||||
Progress Software Corp* | 3,848 | 111,630 | ||||||
Quality Systems Inc | 3,273 | 38,523 | ||||||
Rambus Inc* | 9,776 | 135,104 | ||||||
Rovi Corp* | 6,933 | 141,919 | ||||||
Rudolph Technologies Inc* | 2,269 | 39,798 | ||||||
Semtech Corp* | 5,132 | $ | 136,511 | |||||
Super Micro Computer Inc* | 3,069 | 66,382 | ||||||
Sykes Enterprises Inc* | 2,956 | 86,404 | ||||||
Synchronoss Technologies Inc* | 3,331 | 139,069 | ||||||
Take-Two Interactive Software Inc (c)* | 7,099 | 308,594 | ||||||
Tangoe Inc* | 2,294 | 21,311 | ||||||
TeleTech Holdings Inc | 1,320 | 37,422 | ||||||
Tessera Technologies Inc | 3,684 | 123,561 | ||||||
Ultratech Inc* | 2,234 | 55,872 | ||||||
Veeco Instruments Inc* | 3,179 | 62,531 | ||||||
Virtusa Corp* | 2,071 | 54,322 | ||||||
Total Technology | 5,330,683 | |||||||
Utilities (4.23%) | ||||||||
ALLETE Inc (c) | 3,837 | 227,534 | ||||||
American States Water Co | 3,091 | 120,487 | ||||||
Avista Corp | 5,227 | 212,321 | ||||||
El Paso Electric Co | 3,223 | 147,259 | ||||||
New Jersey Resources Corp | 7,197 | 242,107 | ||||||
Northwest Natural Gas Co | 2,162 | 129,136 | ||||||
NorthWestern Corp | 4,041 | 233,651 | ||||||
Piedmont Natural Gas Co Inc (c) | 6,657 | 400,086 | ||||||
South Jersey Industries Inc | 5,793 | 171,936 | ||||||
Southwest Gas Corp (c) | 3,974 | 277,465 | ||||||
Spire Inc | 3,636 | 235,249 | ||||||
Total Utilities | 2,397,231 | |||||||
Total Common Stock (Cost $38,687,321) | 54,738,534 | |||||||
Total Investments (Cost $38,687,321) (a) (96.66%) | 54,738,534 | |||||||
Other Net Assets (3.34%) | 1,891,262 | |||||||
Net Assets (100.00%) | $ | 56,629,796 |
* Non-income producing security. | ||
(a) Aggregate cost for federal income tax purpose is $38,712,772.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 19,835,762 | ||
Unrealized depreciation | (3,810,000 | ) | ||
Net unrealized appreciation | $ | 16,025,762 |
(b) Futures contracts at August 31, 2016:
Contracts - $100 times premium / delivery month / commitment / exchange |
Russell 2000 MINI | Value at Trade Date | Notional Value | Unrealized Appreciation | |||||||||
14 / SEP 2016 / Long / ICE | $ | 1,672,490 | $ | 1,734,320 | $ | 61,830 |
(c) A portion of these shares have been pledged in connection with obligations for futures contracts. |
See accompanying notes to financial statements.
25
Shelton Core Value Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (88.67%) | ||||||||
Basic Materials (4.06%) | ||||||||
EI du Pont de Nemours & Co (c) | 12,886 | $ | 896,866 | |||||
PPG Industries Inc (c) | 37,600 | 3,981,088 | ||||||
Praxair Inc (c) | 15,167 | 1,850,981 | ||||||
Sensient Technologies Corp | 8,500 | 622,455 | ||||||
Total Basic Materials | 7,351,390 | |||||||
Communications (2.62%) | ||||||||
AT&T Inc (c) | 57,669 | 2,357,509 | ||||||
Verizon Communications Inc (c) | 45,542 | 2,383,213 | ||||||
Total Communications | 4,740,722 | |||||||
Consumer, Cyclical (8.22%) | ||||||||
Ford Motor Co (c) | 702,700 | 8,854,020 | ||||||
McDonald's Corp (c) | 25,868 | 2,991,893 | ||||||
Target Corp (c) | 43,339 | 3,041,964 | ||||||
Total Consumer, Cyclical | 14,887,877 | |||||||
Consumer, Non-Cyclical (24.54%) | ||||||||
Agriculture (1.75%) | ||||||||
Reynolds American Inc (c) | 63,968 | 3,170,894 | ||||||
3,170,894 | ||||||||
Biotechnology (3.72%) | ||||||||
Celgene Corp (c)* | 35,214 | 3,758,742 | ||||||
Gilead Sciences Inc (c) | 38,000 | 2,978,440 | ||||||
6,737,182 | ||||||||
Commercial Services (0.56%) | ||||||||
Moody's Corp (c) | 9,392 | 1,020,816 | ||||||
1,020,816 | ||||||||
Cosmetics/Personal Care (2.75%) | ||||||||
Colgate-Palmolive Co (c) | 20,400 | 1,516,536 | ||||||
Procter & Gamble Co/The (c) | 39,680 | 3,464,461 | ||||||
4,980,997 | ||||||||
Food (4.32%) | ||||||||
ConAgra Foods Inc (c) | 42,450 | 1,978,595 | ||||||
Sprouts Farmers Market Inc (c)* | 260,000 | 5,857,800 | ||||||
7,836,395 | ||||||||
Healthcare-Services (6.08%) | ||||||||
Abbott Laboratories (c) | 27,810 | 1,168,576 | ||||||
Aetna Inc (c) | 14,084 | 1,649,518 | ||||||
Anthem Inc (c) | 32,300 | 4,040,084 | ||||||
Baxter International Inc (c) | 44,226 | 2,066,681 | ||||||
Danaher Corp (c) | 25,600 | 2,084,096 | ||||||
11,008,955 | ||||||||
Household Products/Wares (0.99%) | ||||||||
Kimberly-Clark Corp (c) | 14,000 | 1,792,840 | ||||||
1,792,840 | ||||||||
Pharmaceuticals (4.37%) | ||||||||
AbbVie Inc (c) | 41,610 | 2,667,201 | ||||||
AmerisourceBergen Corp (c) | 22,912 | 1,992,657 | ||||||
Merck & Co Inc (c) | 30,900 | 1,940,211 | ||||||
Shire PLC | 7,085 | 1,326,170 | ||||||
7,926,239 | ||||||||
Total Consumer, Non-Cyclical | 44,474,318 | |||||||
Energy (11.19%) | ||||||||
Anadarko Petroleum Corp (c) | 21,340 | $ | 1,141,050 | |||||
Baker Hughes Inc (c) | 27,455 | 1,348,864 | ||||||
BP PLC (c) | 71,914 | 2,435,008 | ||||||
Chevron Corp (c) | 53,324 | 5,363,328 | ||||||
ConocoPhillips (c) | 19,648 | 806,550 | ||||||
Devon Energy Corp (c) | 10,652 | 461,551 | ||||||
Exxon Mobil Corp (c) | 43,236 | 3,767,585 | ||||||
Royal Dutch Shell PLC (c) | 35,230 | 1,722,747 | ||||||
Schlumberger Ltd (c) | 35,500 | 2,804,500 | ||||||
Spectra Energy Corp | 12,000 | 427,440 | ||||||
Total Energy | 20,278,623 | |||||||
Financial (19.64%) | ||||||||
Arthur J Gallagher & Co | 32,400 | 1,600,884 | ||||||
Aspen Insurance Holdings Ltd | 26,315 | 1,209,437 | ||||||
Bank of America Corp (c) | 179,700 | 2,900,358 | ||||||
Bank of New York Mellon Corp/The (c) | 21,450 | 893,822 | ||||||
BlackRock Inc (c) | 9,000 | 3,355,290 | ||||||
Citigroup Inc (c) | 45,000 | 2,148,300 | ||||||
Goldman Sachs Group Inc/The (c) | 23,750 | 4,024,675 | ||||||
Intercontinental Exchange Inc (c) | 4,504 | 1,270,218 | ||||||
JPMorgan Chase & Co (c) | 106,420 | 7,183,350 | ||||||
Morgan Stanley (c) | 70,450 | 2,258,627 | ||||||
Principal Financial Group Inc (c) | 18,850 | 924,970 | ||||||
State Street Corp (c) | 9,600 | 674,304 | ||||||
US Bancorp (c) | 60,600 | 2,675,490 | ||||||
Wells Fargo & Co (c) | 87,889 | 4,464,761 | ||||||
Total Financial | 35,584,486 | |||||||
Industrial (7.03%) | ||||||||
Agilent Technologies Inc (c) | 6,670 | 313,357 | ||||||
Boeing Co/The (c) | 17,000 | 2,200,650 | ||||||
Caterpillar Inc (c) | 28,342 | 2,322,627 | ||||||
Fortive Corp (c) | 12,800 | 674,176 | ||||||
Northrop Grumman Corp (c) | 8,600 | 1,823,802 | ||||||
Rockwell Collins Inc (c) | 12,400 | 1,037,756 | ||||||
Union Pacific Corp | 10,950 | 1,046,054 | ||||||
United Parcel Service Inc (c) | 8,160 | 891,235 | ||||||
United Technologies Corp (c) | 19,500 | 2,075,385 | ||||||
Seaspan Corp | 25,000 | 362,500 | ||||||
Total Industrial | 12,747,542 | |||||||
Technology (8.16%) | ||||||||
Analog Devices Inc (c) | 9,440 | 590,566 | ||||||
EMC Corp | 29,720 | 861,583 | ||||||
Hewlett Packard Enterprise Co (c) | 50,000 | 1,074,000 | ||||||
International Business Machines Corp (c) | 6,660 | 1,058,141 | ||||||
Linear Technology Corp (c) | 17,480 | 1,018,035 | ||||||
Microsoft Corp (c) | 51,833 | 2,978,324 | ||||||
Oracle Corp (c) | 64,130 | 2,643,438 | ||||||
Paychex Inc (c) | 34,000 | 2,062,780 | ||||||
QUALCOMM Inc (c) | 17,875 | 1,127,376 | ||||||
Taiwan Semiconductor Manufacturing Co Ltd | 30,000 | $ | 862,200 | |||||
Texas Instruments Inc (c) | 7,400 | 514,596 | ||||||
Total Technology | 14,791,039 | |||||||
Utilities (3.21%) | ||||||||
Consolidated Edison Inc (c) | 21,200 | 1,595,300 | ||||||
DTE Energy Co (c) | 4,700 | 436,630 | ||||||
Duke Energy Corp (c) | 8,099 | 645,166 | ||||||
Exelon Corp (c) | 18,746 | 637,364 | ||||||
FirstEnergy Corp (c) | 23,574 | 771,577 | ||||||
NextEra Energy Inc (c) | 7,500 | 907,050 | ||||||
Sempra Energy (c) | 8,050 | 842,272 | ||||||
Total Utilities | 5,835,359 | |||||||
Total Common Stock (Cost $90,014,597) | 160,691,356 | |||||||
Preferred Stock (0.89%) | ||||||||
Amerityre Corp Preferred** | 2,000,000 | 1,600,000 | ||||||
Total Preferred Stock (Cost $2,000,000) | 1,600,000 | |||||||
Total Investments (Cost $92,014,597) (a) (89.56%) | 162,291,356 | |||||||
Other Net Assets (10.44%) | 18,923,113 | |||||||
Net Assets (100.00%) | $ | 181,214,469 |
* Non-income producing security. | ||
** This security has been fair valued and deemed to be illiquid by the Advisor. At August 31, 2016, the fair value was $1,600,000, or 0.89% of net assets. In default of interest payment 5% maturing 12/13/2019. | ||
(a) Aggregate cost for federal income tax purpose is $92,375,177.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 72,191,624 | ||
Unrealized depreciation | (2,305,491 | ) | ||
Net unrealized appreciation | $ | 69,886,133 |
See accompanying notes to financial statements.
26
Shelton Core Value Fund | Portfolio of Investments (Continued) | 8/31/2016 |
Written Options | Expiration Date | Exercise | Contracts | Value | |||||||||
AbbVie Inc | 9/16/2016 | $ | 67.50 | (138 | ) | $ | (966 | ) | |||||
Baker Hughes Inc | 9/16/2016 | 52.50 | (91 | ) | (2,548 | ) | |||||||
Bank of America Corp | 10/21/2016 | 15.00 | (397 | ) | (55,580 | ) | |||||||
Baxter International Inc | 9/16/2016 | 47.50 | (147 | ) | (3,822 | ) | |||||||
BlackRock Inc | 10/21/2016 | 370.00 | (30 | ) | (36,900 | ) | |||||||
Boeing Co/The | 9/16/2016 | 135.00 | (56 | ) | (1,232 | ) | |||||||
Caterpillar Inc | 9/16/2016 | 82.50 | (94 | ) | (11,280 | ) | |||||||
Celgene Corp | 9/16/2016 | 115.00 | (117 | ) | (4,914 | ) | |||||||
Citigroup Inc | 10/21/2016 | 47.50 | (150 | ) | (28,800 | ) | |||||||
Colgate-Palmolive Co | 9/16/2016 | 75.00 | (68 | ) | (3,196 | ) | |||||||
Goldman Sachs Group Inc/The | 9/16/2016 | 165.00 | (79 | ) | (42,581 | ) | |||||||
Intercontinental Exchange, Inc | 9/16/2016 | 280.00 | (15 | ) | (6,300 | ) | |||||||
JPMorgan Chase & Co | 9/16/2016 | 65.00 | (354 | ) | (95,226 | ) | |||||||
Merck & Co Inc | 10/21/2016 | 62.50 | (103 | ) | (15,141 | ) | |||||||
Morgan Stanley | 10/21/2016 | 30.00 | (234 | ) | (61,074 | ) | |||||||
Paychex Inc | 9/16/2016 | 60.00 | (113 | ) | (11,865 | ) | |||||||
Praxair Inc | 9/16/2016 | 120.00 | (50 | ) | (14,000 | ) | |||||||
Procter & Gamble Co/The | 9/16/2016 | 87.50 | (132 | ) | (11,088 | ) | |||||||
Union Pacific Corp | 9/16/2016 | 95.00 | (36 | ) | (5,616 | ) | |||||||
United Parcel Service Inc | 9/16/2016 | 110.00 | (10 | ) | (630 | ) | |||||||
Total Written Call Options | (412,759 | ) | |||||||||||
(Total Premiums Received $382,713) |
(c) A portion of these shares have been pledged in connection with obligations for options contracts. |
European Growth & Income Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (97.89%) | ||||||||
Basic Materials (5.01%) | ||||||||
BASF SE | 3,488 | $ | 282,929 | |||||
BHP Billiton Ltd | 1,900 | 57,000 | ||||||
Rio Tinto PLC | 3,600 | 108,612 | ||||||
South32 Ltd* | 760 | 5,415 | ||||||
Total Basic Materials | 453,956 | |||||||
Communications (4.86%) | ||||||||
Deutsche Telekom AG | 11,525 | 192,583 | ||||||
Telefonica SA | 24,558 | 247,053 | ||||||
Total Communications | 439,636 | |||||||
Consumer, Cyclical (6.40%) | ||||||||
Daimler AG | 3,835 | 265,152 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 9,300 | 314,619 | ||||||
Total Consumer, Cyclical | 579,771 | |||||||
Consumer, Non-Cyclical (46.10%) | ||||||||
Agriculture (4.25%) | ||||||||
British American Tobacco PLC | 3,100 | 384,989 | ||||||
384,989 | ||||||||
Beverages (8.47%) | ||||||||
Anheuser-Busch InBev SA/NV | 3,700 | 458,911 | ||||||
Diageo PLC | 2,735 | 307,633 | ||||||
766,544 | ||||||||
Cosmetics/Personal Care (3.31%) | ||||||||
Unilever NV | 6,508 | 300,084 | ||||||
300,084 | ||||||||
Food (6.60%) | ||||||||
Nestle SA | 7,512 | 597,204 | ||||||
597,204 | ||||||||
Pharmaceuticals (23.47%) | ||||||||
Bayer AG | 4,115 | $ | 440,017 | |||||
GlaxoSmithKline PLC | 8,050 | 349,853 | ||||||
Novartis AG | 7,157 | 563,757 | ||||||
Roche Holding AG | 15,564 | 475,480 | ||||||
Sanofi | 7,700 | 296,219 | ||||||
2,125,326 | ||||||||
Total Consumer, Non-Cyclical | 4,174,147 | |||||||
Energy (10.12%) | ||||||||
Eni SpA | 7,482 | 225,433 | ||||||
Royal Dutch Shell PLC | 7,481 | 365,821 | ||||||
TOTAL SA | 6,815 | 325,416 | ||||||
Total Energy | 916,670 | |||||||
Financial (16.91%) | ||||||||
Allianz SE | 18,157 | 269,450 | ||||||
AXA SA | 18,984 | 398,854 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 15,551 | 96,727 | ||||||
Banco Santander SA | 51,573 | 231,046 | ||||||
BNP Paribas SA | 5,452 | 139,026 | ||||||
Deutsche Bank AG* | 3,484 | 51,389 | ||||||
HSBC Holdings PLC | 2,476 | 92,107 | ||||||
ING Groep NV | 20,000 | 251,000 | ||||||
Total Financial | 1,529,599 | |||||||
Industrial (4.93%) | ||||||||
Siemens AG | 3,735 | 446,613 | ||||||
Total Industrial | 446,613 | |||||||
Technology (3.56%) | ||||||||
SAP SE | 3,667 | $ | 322,586 | |||||
Total Technology | 322,586 | |||||||
Total Common Stock (Cost $7,878,224) | 8,862,978 | |||||||
Total Investments (Cost $7,878,224) (a) (97.89%) | 8,862,978 | |||||||
Other Net Assets (2.11%) | 190,990 | |||||||
Net Assets (100.00%) | $ | 9,053,968 |
* Non-income producing security. | ||
(a) Aggregate cost for federal income tax purpose is $7,878,255.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 2,492,058 | ||
Unrealized depreciation | (1,507,335 | ) | ||
Net unrealized appreciation | $ | 984,723 |
See accompanying notes to financial statements.
27
Nasdaq-100 Index Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (98.79%) | ||||||||
Communications (34.81%) | ||||||||
Internet (24.98%) | ||||||||
Alphabet Inc* | 14,824 | $ | 11,708,736 | |||||
Alphabet Inc* | 17,409 | 13,353,573 | ||||||
Amazon.com Inc (c)* | 23,768 | 18,281,395 | ||||||
Baidu Inc* | 16,478 | 2,818,891 | ||||||
Ctrip.com International Ltd* | 21,105 | 999,322 | ||||||
eBay Inc* | 72,865 | 2,343,338 | ||||||
Expedia Inc | 7,561 | 825,056 | ||||||
Facebook Inc* | 132,823 | 16,751,637 | ||||||
JD.com Inc* | 53,925 | 1,370,234 | ||||||
Liberty Ventures* | 8,022 | 309,168 | ||||||
Netflix Inc* | 25,816 | 2,515,769 | ||||||
Priceline Group Inc/The* | 2,906 | 4,117,017 | ||||||
TripAdvisor Inc* | 7,210 | 439,810 | ||||||
Yahoo! Inc* | 58,728 | 2,510,622 | ||||||
78,344,568 | ||||||||
Media (6.51%) | ||||||||
Charter Communications Inc* | 6,284 | 1,616,308 | ||||||
Comcast Corp | 155,101 | 10,121,891 | ||||||
Discovery Communications Inc* | 15,060 | 373,789 | ||||||
Discovery Communications Inc* | 7,945 | 202,677 | ||||||
DISH Network Corp* | 12,336 | 619,637 | ||||||
Liberty Braves Group* | 542 | 9,111 | ||||||
Liberty Braves Group* | 1,219 | 20,065 | ||||||
Liberty Global PLC* | 13,870 | 438,986 | ||||||
Liberty Global PLC* | 35,918 | 1,107,352 | ||||||
Liberty Global Plc LiLAC* | 2,316 | 65,149 | ||||||
Liberty Global Plc LiLAC* | 6,079 | 173,616 | ||||||
Liberty Media Group LLC* | 3,049 | 64,822 | ||||||
Liberty Media Group LLC* | 1,356 | 29,018 | ||||||
Liberty SiriusXM Group* | 5,425 | 181,792 | ||||||
Liberty SiriusXM Group* | 12,197 | 405,306 | ||||||
Sirius XM Holdings Inc* | 315,026 | 1,304,208 | ||||||
Twenty-First Century Fox Inc | 69,202 | 1,698,217 | ||||||
Twenty-First Century Fox Inc | 49,363 | 1,226,671 | ||||||
Viacom Inc | 19,051 | 768,517 | ||||||
20,427,132 | ||||||||
Telecommunicatoins (3.32%) | ||||||||
Cisco Systems Inc | 308,245 | 9,691,223 | ||||||
Vodafone Group PLC | 22,646 | 694,100 | ||||||
10,385,323 | ||||||||
Total Communications | 109,157,023 | |||||||
Consumer, Cyclical (9.12%) | ||||||||
American Airlines Group Inc | 37,277 | 1,353,155 | ||||||
Bed Bath & Beyond Inc | 9,158 | 424,656 | ||||||
Costco Wholesale Corp | 27,022 | 4,379,996 | ||||||
Dollar Tree Inc* | 14,514 | 1,200,308 | ||||||
Fastenal Co | 15,898 | 685,363 | ||||||
Liberty Interactive Corp QVC Group* | 25,661 | 542,217 | ||||||
Marriott International Inc/MD | 15,669 | 1,117,670 | ||||||
Mattel Inc | 18,623 | 616,980 | ||||||
Norwegian Cruise Line Holdings Ltd* | 13,819 | 495,964 | ||||||
O'Reilly Automotive Inc* | 6,008 | 1,681,940 | ||||||
PACCAR Inc | 21,720 | 1,299,725 | ||||||
Ross Stores Inc | 25,036 | 1,558,241 | ||||||
Starbucks Corp | 81,036 | 4,556,654 | ||||||
Tesla Motors Inc* | 8,163 | 1,730,638 | ||||||
Tractor Supply Co | 7,372 | 618,879 | ||||||
Ulta Salon Cosmetics & Fragrance Inc* | 3,850 | $ | 951,759 | |||||
Walgreens Boots Alliance Inc | 66,679 | 5,381,662 | ||||||
Total Consumer, Cyclical | 28,595,807 | |||||||
Consumer, Non-Cyclical (18.74%) | ||||||||
Alexion Pharmaceuticals Inc* | 13,927 | 1,752,852 | ||||||
Amgen Inc | 46,069 | 7,834,494 | ||||||
Automatic Data Processing Inc | 27,966 | 2,511,626 | ||||||
Biogen Inc* | 13,131 | 4,013,228 | ||||||
BioMarin Pharmaceutical Inc* | 8,849 | 830,833 | ||||||
Celgene Corp* | 47,933 | 5,116,368 | ||||||
Endo International PLC* | 13,637 | 282,286 | ||||||
Express Scripts Holding Co* | 40,380 | 2,935,626 | ||||||
Gilead Sciences Inc | 84,223 | 6,601,399 | ||||||
Henry Schein Inc* | 4,550 | 745,245 | ||||||
Illumina Inc* | 9,050 | 1,523,477 | ||||||
Incyte Corp* | 11,612 | 941,733 | ||||||
Intuitive Surgical Inc* | 2,310 | 1,585,630 | ||||||
Mondelez International Inc | 96,099 | 4,326,377 | ||||||
Monster Beverage Corp* | 12,544 | 1,930,396 | ||||||
Mylan NV* | 30,333 | 1,284,906 | ||||||
PayPal Holdings Inc* | 72,931 | 2,709,387 | ||||||
Regeneron Pharmaceuticals Inc* | 6,226 | 2,444,016 | ||||||
Kraft Heinz Co/The | 74,281 | 6,647,407 | ||||||
Verisk Analytics Inc* | 9,297 | 772,116 | ||||||
Vertex Pharmaceuticals Inc* | 15,231 | 1,439,482 | ||||||
Whole Foods Market Inc | 18,728 | 568,957 | ||||||
Total Consumer, Non-Cyclical | 58,797,841 | |||||||
Industrial (0.92%) | ||||||||
CSX Corp | 59,540 | 1,683,791 | ||||||
SBA Communications Corp* | 6,889 | 786,379 | ||||||
Stericycle Inc* | 4,663 | 400,925 | ||||||
Total Industrial | 2,871,095 | |||||||
Technology (35.20%) | ||||||||
Computers (10.70%) | ||||||||
Apple Inc (c) | 279,902 | 29,697,602 | ||||||
Cognizant Technology Solutions Corp* | 37,358 | 2,145,844 | ||||||
NetApp Inc | 16,183 | 559,770 | ||||||
Seagate Technology PLC | 16,891 | 569,902 | ||||||
Western Digital Corp | 12,716 | 593,456 | ||||||
33,566,574 | ||||||||
Semiconductors (11.58%) | ||||||||
Analog Devices Inc | 19,164 | 1,198,900 | ||||||
Applied Materials Inc | 69,899 | 2,085,786 | ||||||
Broadcom Ltd | 24,136 | 4,258,073 | ||||||
Intel Corp | 289,370 | 10,385,489 | ||||||
Lam Research Corp | 8,692 | 811,137 | ||||||
Linear Technology Corp | 13,123 | 764,284 | ||||||
Maxim Integrated Products Inc | 17,117 | 697,004 | ||||||
Micron Technology Inc* | 59,584 | 982,540 | ||||||
NVIDIA Corp | 33,258 | 2,040,046 | ||||||
NXP Semiconductors NV* | 18,389 | 1,618,600 | ||||||
QUALCOMM Inc | 91,537 | 5,773,239 | ||||||
Skyworks Solutions Inc | 10,490 | 785,281 | ||||||
Texas Instruments Inc | 59,838 | 4,161,135 | ||||||
Xilinx Inc | 14,102 | 764,469 | ||||||
36,325,983 | ||||||||
Software (12.92%) | ||||||||
Activision Blizzard Inc | 45,436 | 1,879,687 | ||||||
Adobe Systems Inc* | 30,037 | 3,073,085 | ||||||
Akamai Technologies Inc* | 9,765 | 536,099 | ||||||
Autodesk Inc* | 12,413 | 836,636 | ||||||
CA Inc | 24,077 | $ | 816,451 | |||||
Cerner Corp* | 21,019 | 1,356,566 | ||||||
Check Point Software Technologies Ltd* | 9,925 | 761,645 | ||||||
Citrix Systems Inc* | 8,530 | 743,816 | ||||||
CommerceHub Inc* | 802 | 11,862 | ||||||
CommerceHub Inc* | 1,604 | 23,627 | ||||||
Electronic Arts Inc* | 19,121 | 1,553,199 | ||||||
Fiserv Inc* | 13,781 | 1,420,132 | ||||||
Intuit Inc | 15,876 | 1,769,380 | ||||||
Microsoft Corp (c) | 408,520 | 23,473,558 | ||||||
NetEase Inc | 4,300 | 911,471 | ||||||
Paychex Inc | 22,313 | 1,353,730 | ||||||
40,520,944 | ||||||||
Total Technology | 110,413,501 | |||||||
Total Common Stock (Cost $233,644,537) | 309,835,267 | |||||||
Total Investments (Cost $233,644,537) (a) (98.79%) | 309,835,267 | |||||||
Other Net Assets (1.21%) | 3,786,795 | |||||||
Net Assets (100.00%) | $ | 313,622,062 |
* Non-income producing security. | ||
(a) Aggregate cost for federal income tax purpose is $233,941,334.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 87,240,605 | ||
Unrealized depreciation | (11,346,672 | ) | ||
Net unrealized appreciation | $ | 75,893,933 |
(b) Futures contracts at August 31, 2016:
Contracts - $20 times premium / delivery month / commitment / exchange |
Nasdaq 100 E-MINI | Value at Trade Date | Notional Value | Unrealized Depreciation | |||||||||
38 /SEP 2016 / Long / CME | $ | 3,633,560 | $ | 3,628,050 | $ | (5,510 | ) |
(c) A portion of these shares have been pledged in connection with obligations for futures contracts. |
See accompanying notes to financial statements.
28
Shelton Green Alpha Fund | Portfolio of Investments | 8/31/2016 |
Security Description | Shares | Value | ||||||
Common Stock (97.47%) | ||||||||
Basic Materials (1.12%) | ||||||||
Schnitzer Steel Industries Inc | 22,000 | $ | 413,160 | |||||
Total Basic Materials | 413,160 | |||||||
Communications (5.98%) | ||||||||
Sierra Wireless Inc* | 56,800 | 796,336 | ||||||
Splunk Inc* | 3,800 | 221,312 | ||||||
Alphabet Inc* | 1,550 | 1,188,928 | ||||||
Total Communications | 2,206,576 | |||||||
Consumer, Cyclical (8.88%) | ||||||||
Kandi Technologies Group Inc* | 85,000 | 529,550 | ||||||
Tesla Motors Inc* | 4,200 | 890,442 | ||||||
Herman Miller Inc | 21,000 | 757,470 | ||||||
Interface Inc | 40,000 | 707,200 | ||||||
Steelcase Inc | 26,000 | 388,440 | ||||||
Total Consumer, Cyclical | 3,273,102 | |||||||
Consumer, Non-Cyclical (11.21%) | ||||||||
SunOpta Inc* | 100,000 | 664,000 | ||||||
Exact Sciences Corp* | 8,800 | 162,536 | ||||||
Hain Celestial Group Inc/The* | 19,300 | 709,275 | ||||||
Integer Holdings Corp* | 7,000 | 169,400 | ||||||
WhiteWave Foods Co/The* | 21,000 | 1,164,030 | ||||||
United Natural Foods Inc* | 22,000 | 1,003,200 | ||||||
Natural Grocers by Vitamin Cottage Inc* | 21,000 | 259,350 | ||||||
Total Consumer, Non-Cyclical | 4,131,791 | |||||||
Energy (23.20%) | ||||||||
Canadian Solar Inc* | 97,000 | 1,250,330 | ||||||
First Solar Inc* | 34,600 | 1,308,572 | ||||||
JA Solar Holdings Co Ltd* | 50,000 | 370,500 | ||||||
JinkoSolar Holding Co Ltd* | 21,400 | 395,044 | ||||||
SolarCity Corp* | 30,400 | 628,064 | ||||||
Trina Solar Ltd* | 113,000 | 1,187,630 | ||||||
Vestas Wind Systems A/S | 66,000 | 1,822,920 | ||||||
Pattern Energy Group Inc | 67,000 | 1,594,600 | ||||||
Total Energy | 8,557,660 | |||||||
Financial (5.41%) | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 22,000 | 396,110 | ||||||
Alexandria Real Estate Equities Inc | 4,900 | 539,441 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital Inc | 15,000 | 359,700 | ||||||
Liberty Property Trust | 17,000 | 700,910 | ||||||
Total Financial | 1,996,161 | |||||||
Industrial (18.42%) | ||||||||
ABB Ltd | 37,600 | 814,792 | ||||||
Waters Corp* | 1,900 | 298,889 | ||||||
Garmin Ltd | 6,700 | 328,836 | ||||||
Kyocera Corp | 12,300 | 585,234 | ||||||
LG Display Co Ltd | 47,000 | 627,920 | ||||||
Universal Display Corp* | 10,500 | $ | 604,695 | |||||
Trex Co Inc* | 14,000 | 867,160 | ||||||
SunPower Corp* | 63,200 | 629,472 | ||||||
Advanced Energy Industries Inc* | 14,500 | 637,275 | ||||||
Acuity Brands Inc | 1,500 | 412,680 | ||||||
Badger Meter Inc | 5,000 | 329,950 | ||||||
Itron Inc* | 13,800 | 657,294 | ||||||
Total Industrial | 6,794,197 | |||||||
Technology (19.95%) | ||||||||
Apple Inc | 8,800 | 933,680 | ||||||
Silver Spring Networks Inc* | 5,800 | 79,170 | ||||||
Applied Materials Inc | 43,000 | 1,283,120 | ||||||
Brooks Automation Inc | 40,000 | 504,400 | ||||||
InvenSense Inc* | 63,000 | 468,720 | ||||||
QUALCOMM Inc | 12,500 | 788,375 | ||||||
Skyworks Solutions Inc | 12,000 | 898,320 | ||||||
ANSYS Inc* | 5,800 | 551,522 | ||||||
Autodesk Inc* | 7,000 | 471,800 | ||||||
Omnicell Inc* | 4,936 | 185,495 | ||||||
International Business Machines Corp | 7,500 | 1,191,600 | ||||||
Total Technology | 7,356,202 | |||||||
Utilities (3.30%) | ||||||||
California Water Service Group | 13,700 | 417,713 | ||||||
Consolidated Water Co Ltd | 63,000 | 798,840 | ||||||
Total Utilities | 1,216,553 | |||||||
Total Common Stock (Cost $34,844,975) | 35,945,402 | |||||||
Limited Partnerships (1.18%) | ||||||||
8Point3 Energy Partners LP | 28,000 | 435,680 | ||||||
Total Limited Partnerships (Cost $403,415) | 435,680 | |||||||
Total Investments (Cost $35,248,390) (a) (98.65%) | 36,381,082 | |||||||
Other Net Assets (1.35%) | 498,445 | |||||||
Net Assets (100.00%) | $ | 36,879,527 |
* Non-income producing security. | ||
(a) Aggregate cost for federal income tax purpose is $35,277,387.
At August 31, 2016, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 6,005,400 | ||
Unrealized depreciation | (4,901,705 | ) | ||
Net unrealized appreciation | $ | 1,103,695 |
See accompanying notes to financial statements.
29
Statements of Assets & Liabilities |
California | U.S. | Short-Term U.S. | The United | |||||||||||||
Assets | ||||||||||||||||
Investments in securities | ||||||||||||||||
Cost of investments | $ | 78,861,495 | $ | 23,263,789 | $ | 5,376,753 | $ | 72,870,631 | ||||||||
Market value of investments (Note 1) | 84,925,094 | 24,269,239 | 5,392,953 | 72,870,631 | ||||||||||||
Cash | 126,433 | 56,985 | 80,856 | 12,873 | ||||||||||||
Interest receivable | 926,376 | 110,567 | 7,817 | — | ||||||||||||
Receivable for fund shares sold | 180,161 | 95,189 | 2,277 | 2,120,473 | ||||||||||||
Prepaid expenses | 3,465 | 452 | 24 | 13 | ||||||||||||
Total assets | 86,161,529 | 24,532,432 | 5,483,927 | 75,003,990 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for fund shares repurchased | 1,495,774 | 16,816 | — | 29,253 | ||||||||||||
Payable to investment advisor | 38,653 | 10,609 | 923 | 4,127 | ||||||||||||
Distributions payable | 181,050 | 30,091 | 1,019 | — | ||||||||||||
Accrued 12b-1 fees | — | 1,203 | 370 | 49 | ||||||||||||
Accrued shareholder service fees | — | 1,252 | 370 | 77 | ||||||||||||
Accrued administration fees | 6,903 | 1,980 | 450 | 5,494 | ||||||||||||
Accrued CCO fees | — | 172 | 40 | 491 | ||||||||||||
Accrued expenses | 16,758 | 4,386 | 2,620 | 12,232 | ||||||||||||
Total liabilities | 1,739,138 | 66,509 | 5,792 | 51,723 | ||||||||||||
Net assets | $ | 84,422,391 | $ | 24,465,923 | $ | 5,478,135 | $ | 74,952,267 | ||||||||
Net assets at August 31, 2016 consist of | ||||||||||||||||
Paid-in capital | 77,974,781 | 23,850,601 | 5,459,448 | 74,954,421 | ||||||||||||
Undistributed net investment income | 149,312 | 59,581 | 133 | — | ||||||||||||
Accumulated net realized gain (loss) | 234,699 | (449,709 | ) | 2,354 | (2,154 | ) | ||||||||||
Unrealized appreciation (depreciation) of investments | 6,063,599 | 1,005,450 | 16,200 | — | ||||||||||||
Total net assets | $ | 84,422,391 | $ | 24,465,923 | $ | 5,478,135 | $ | 74,952,267 | ||||||||
Net assets | ||||||||||||||||
Direct Shares | $ | 84,422,391 | $ | 19,754,373 | $ | 4,147,971 | $ | 72,482,402 | ||||||||
K Shares | $ | — | $ | 4,711,549 | $ | 1,330,164 | $ | 2,469,865 | ||||||||
Shares outstanding | ||||||||||||||||
Direct Shares (no par value, unlimited shares authorized) | 7,074,246 | 1,861,104 | 407,595 | 72,486,234 | ||||||||||||
K Shares (no par value, unlimited shares authorized) | — | 442,875 | 132,765 | 2,468,216 | ||||||||||||
Net asset value per share | ||||||||||||||||
Direct Shares | $ | 11.93 | $ | 10.61 | $ | 10.18 | $ | 1.00 | ||||||||
K Shares | $ | — | $ | 10.64 | $ | 10.02 | $ | 1.00 |
See accompanying notes to financial statements.
30
Statements of Assets & Liabilities |
S&P 500 | S&P MidCap | S&P | Shelton | |||||||||||||
Assets | ||||||||||||||||
Investments in securities | ||||||||||||||||
Cost of investments | $ | 62,649,894 | $ | 83,193,337 | $ | 38,687,321 | $ | 92,014,597 | ||||||||
Market value of investments (Note 1) | 141,320,069 | 139,721,725 | 54,738,534 | 162,291,356 | ||||||||||||
Cash | 1,490,226 | 2,141,756 | 1,655,682 | 18,830,042 | ||||||||||||
Cash held at broker | 199,950 | 125,800 | 200,000 | 100,000 | ||||||||||||
Dividend receivable | 328,600 | 155,441 | 44,195 | 537,303 | ||||||||||||
Receivable for fund shares sold | 56,785 | 51,219 | 12,402 | 52,396 | ||||||||||||
Receivable for Investment Securities Sold | 38,345 | |||||||||||||||
Prepaid expenses | 111 | 411 | 988 | |||||||||||||
Total assets | 143,395,741 | 142,196,352 | 56,689,158 | 181,812,085 | ||||||||||||
Liabilities | ||||||||||||||||
Written Options, at value (premiums received $382,713) | 412,759 | |||||||||||||||
Payable for fund shares repurchased | 12,360 | 654,378 | 2,873 | 33,222 | ||||||||||||
Payable to investment advisor | 19,432 | 45,343 | 26,495 | 81,901 | ||||||||||||
Variation margin payable | 5,130 | 8,400 | 9,940 | |||||||||||||
Accrued 12b-1 fees | 1,946 | 1,309 | 2,233 | 1,422 | ||||||||||||
Accrued shareholder service fees | 2,935 | 1,287 | 2,410 | 1,660 | ||||||||||||
Accrued administration fees | 11,606 | 11,384 | 4,520 | 14,627 | ||||||||||||
Accrued CCO fees | 993 | 990 | 385 | — | ||||||||||||
Accrued expenses | 14,614 | 16,026 | 10,506 | 52,025 | ||||||||||||
Total liabilities | 69,016 | 739,117 | 59,362 | 597,616 | ||||||||||||
Net assets | $ | 143,326,725 | $ | 141,457,235 | $ | 56,629,796 | $ | 181,214,469 | ||||||||
Net assets at August 31, 2016 consist of | ||||||||||||||||
Paid-in capital | 62,968,197 | 75,028,675 | 38,243,729 | 90,542,293 | ||||||||||||
Undistributed net investment income | 729,442 | — | — | 1,001,503 | ||||||||||||
Accumulated net realized gain (loss) | 901,611 | 9,891,282 | 2,273,024 | 19,423,960 | ||||||||||||
Unrealized appreciation (depreciation) of investments | 78,670,175 | 56,528,388 | 16,051,213 | 70,276,759 | ||||||||||||
Unrealized appreciation (depreciation) of futures | 57,300 | 8,890 | 61,830 | — | ||||||||||||
Unrealized appreciation (depreciation) of options contracts | (30,046 | ) | ||||||||||||||
Total net assets | $ | 143,326,725 | $ | 141,457,235 | $ | 56,629,796 | $ | 181,214,469 | ||||||||
Net assets | ||||||||||||||||
Direct Shares | $ | 135,345,620 | $ | 136,371,107 | $ | 47,351,207 | $ | 175,317,289 | ||||||||
K Shares | $ | 7,981,105 | $ | 5,086,127 | $ | 9,278,590 | $ | 5,897,180 | ||||||||
Shares outstanding | �� | |||||||||||||||
Direct Shares (no par value, unlimited shares authorized) | 3,157,958 | 5,109,745 | 2,268,888 | 6,537,077 | ||||||||||||
K Shares (no par value, unlimited shares authorized) | 186,129 | 192,450 | 453,214 | 221,615 | ||||||||||||
Net asset value per share | ||||||||||||||||
Direct Shares | $ | 42.86 | $ | 26.69 | $ | 20.87 | $ | 26.82 | ||||||||
K Shares | $ | 42.88 | $ | 26.43 | $ | 20.47 | $ | 26.61 |
See accompanying notes to financial statements.
31
Statements of Assets & Liabilities |
European | Nasdaq-100 | Shelton Green Alpha Fund | ||||||||||
Assets | ||||||||||||
Investments in securities | ||||||||||||
Cost of investments | $ | 7,878,224 | $ | 233,644,537 | $ | 35,248,390 | ||||||
Market value of investments (Note 1) | 8,862,978 | 309,835,267 | 36,381,082 | |||||||||
Cash | 108,770 | 4,130,127 | 471,570 | |||||||||
Cash held at broker | — | 211,200 | — | |||||||||
Dividend receivable | 59,835 | 448,483 | 34,392 | |||||||||
Receivable for fund shares sold | 36,250 | 183,346 | 36,648 | |||||||||
Prepaid expenses | 63 | 2,480 | 197 | |||||||||
Total assets | 9,067,896 | 314,810,903 | 36,923,889 | |||||||||
Liabilities | ||||||||||||
Payable for fund shares repurchased | 1,614 | 1,046,772 | 2,337 | |||||||||
Payable to investment advisor | 5,364 | 72,064 | 33,559 | |||||||||
Variation margin payable | — | 2,375 | — | |||||||||
Accrued 12b-1 fees | 757 | 3,602 | — | |||||||||
Accrued shareholder service fees | 984 | 4,092 | — | |||||||||
Accrued administration fees | 729 | 25,252 | 2,997 | |||||||||
Accrued CCO fees | 103 | 842 | 399 | |||||||||
Accrued expenses | 4,377 | 33,842 | 5,070 | |||||||||
Total liabilities | 13,928 | 1,188,841 | 44,362 | |||||||||
Net assets | $ | 9,053,968 | $ | 313,622,062 | $ | 36,879,527 | ||||||
Net assets at August 31, 2016 consist of | ||||||||||||
Paid-in capital | 9,482,570 | 238,780,666 | 36,123,281 | |||||||||
Undistributed net investment income | 42,643 | 535,666 | — | |||||||||
Accumulated net realized gain (loss) | (1,455,965 | ) | (1,879,490 | ) | (376,446 | ) | ||||||
Unrealized appreciation (depreciation) of investments and foreign currency | 984,720 | 76,190,730 | 1,132,692 | |||||||||
Unrealized appreciation (depreciation) of futures | (5,510 | ) | ||||||||||
Total net assets | $ | 9,053,968 | $ | 313,622,062 | $ | 36,879,527 | ||||||
Net assets | ||||||||||||
Direct Shares | $ | 5,444,998 | $ | 298,122,539 | $ | 36,879,527 | ||||||
K Shares | $ | 3,608,970 | $ | 15,499,523 | $ | — | ||||||
Shares outstanding | ||||||||||||
Direct Shares (no par value, unlimited shares authorized) | 684,873 | 24,339,319 | 2,538,606 | |||||||||
K Shares (no par value, unlimited shares authorized) | 451,991 | 1,299,385 | — | |||||||||
Net asset value per share | ||||||||||||
Direct Shares | $ | 7.95 | $ | 12.25 | $ | 14.53 | ||||||
K Shares | $ | 7.98 | $ | 11.93 | $ | — |
See accompanying notes to financial statements.
32
Statements of Operations |
California | U.S. | Short-Term U.S. | The United | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 2,800,766 | $ | 503,399 | $ | 56,243 | $ | 158,946 | ||||||||
Total | 2,800,766 | 503,399 | 56,243 | 158,946 | ||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 2) | 442,775 | 121,354 | 33,835 | 367,752 | ||||||||||||
Administration fees (Note 2) | 78,514 | 21,819 | 6,086 | 66,170 | ||||||||||||
Transfer agent fees | 22,087 | 14,335 | 3,333 | 16,583 | ||||||||||||
Accounting services | 27,092 | 9,040 | 3,601 | 19,894 | ||||||||||||
Custodian fees | 5,906 | 2,630 | 6,275 | 6,096 | ||||||||||||
Legal and audit fees | 16,600 | 8,784 | 6,008 | 19,026 | ||||||||||||
CCO fees (Note 2) | 3,617 | 2,110 | 592 | 6,275 | ||||||||||||
Trustees fees | 6,295 | 6,297 | 1,173 | 6,275 | ||||||||||||
Insurance | 3,437 | 961 | 255 | 3,343 | ||||||||||||
Printing | 1,168 | 2,068 | 626 | 5,408 | ||||||||||||
Registration and dues | 5,412 | 10,297 | 2,283 | 4,779 | ||||||||||||
12b-1 fees Class K (Note 2) | — | 12,854 | 3,654 | — | ||||||||||||
Shareholder service fees Class K (Note 2) | — | 12,854 | 3,654 | — | ||||||||||||
Licensing fee | — | — | — | — | ||||||||||||
Total expenses | 612,903 | 225,403 | 71,375 | 521,601 | ||||||||||||
Less reimbursement from manager (Note 2) | — | (20,081 | ) | (24,167 | ) | (362,655 | ) | |||||||||
Net expenses | 612,903 | 205,322 | 47,208 | 158,946 | ||||||||||||
Net investment income | 2,187,863 | 298,077 | 9,035 | — | ||||||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) from security transactions | 304,753 | 72,421 | 2,540 | 280 | ||||||||||||
Change in unrealized appreciation (depreciation) of investments | 1,576,243 | 364,694 | 3,408 | — | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1,880,996 | 437,115 | 5,948 | 280 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 4,068,859 | $ | 735,192 | $ | 14,983 | $ | 280 |
33
See accompanying notes to financial statements.
Statements of Operations |
S&P 500 | S&P MidCap | S&P | Shelton | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 2,098 | $ | 1,237 | $ | 1,862 | $ | — | ||||||||
Dividend income (net of foreign tax withheld: $418, $561, $93, $18,329 ,$29,531, $4,500, $14,415 respectively) | 3,041,309 | 2,194,914 | 685,706 | 4,787,271 | ||||||||||||
Total | 3,043,407 | 2,196,151 | 687,568 | 4,787,271 | ||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 2) | 339,874 | 550,504 | 257,272 | 894,268 | ||||||||||||
Administration fees (Note 2) | 120,879 | 123,714 | 45,857 | 160,778 | ||||||||||||
Transfer agent fees | 26,514 | 25,803 | 16,979 | 166,946 | ||||||||||||
Accounting services | 46,241 | 43,949 | 27,008 | 44,117 | ||||||||||||
Custodian fees | 10,720 | 10,939 | 5,881 | 14,510 | ||||||||||||
Broker Fees | — | — | — | 100 | ||||||||||||
Legal and audit fees | 25,402 | 27,711 | 12,811 | 30,301 | ||||||||||||
CCO fees (Note 2) | 11,817 | 11,832 | 4,468 | 7,374 | ||||||||||||
Trustees fees | 6,301 | 6,303 | 6,305 | 6,332 | ||||||||||||
Insurance | 5,378 | 5,934 | 2,053 | 7,657 | ||||||||||||
Printing | 11,015 | 8,849 | 8,011 | 27,636 | ||||||||||||
Registration and dues | 16,675 | 18,775 | 7,068 | 36,883 | ||||||||||||
12b-1 fees Class K (Note 2) | 19,827 | 12,471 | 23,511 | 14,578 | ||||||||||||
Shareholder service fees Class K (Note 2) | 19,827 | 12,471 | 23,511 | 14,578 | ||||||||||||
Licensing fee | 13,868 | 16,230 | 5,358 | — | ||||||||||||
Total expenses | 674,338 | 875,485 | 446,093 | 1,426,058 | ||||||||||||
Less reimbursement from manager (Note 2) | (145,091 | ) | (52,995 | ) | (18,440 | ) | — | |||||||||
Net expenses | 529,247 | 822,490 | 427,653 | 1,426,058 | ||||||||||||
Net investment income | 2,514,160 | 1,373,661 | 259,915 | 3,361,213 | ||||||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) from security transactions | 1,490,887 | 11,311,946 | 2,363,853 | 23,698,760 | ||||||||||||
Net realized gain (loss) from futures contracts | 135,938 | (277,785 | ) | 12,852 | — | |||||||||||
Net realized gain (loss) from options contracts | — | — | — | 395,040 | ||||||||||||
Change in unrealized appreciation (depreciation) of investments | 11,501,497 | 2,386,098 | 3,549,714 | (10,421,053 | ) | |||||||||||
Change in unrealized appreciation (depreciation) of futures | 79,738 | 250,780 | 119,415 | — | ||||||||||||
Change in unrealized appreciation (depreciation) of options contracts | — | — | — | (30,046 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 13,208,060 | 13,671,039 | 6,045,834 | 13,642,701 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 15,722,220 | $ | 15,044,700 | $ | 6,305,749 | $ | 17,003,914 |
See accompanying notes to financial statements.
34
Statements of Operations |
European | Nasdaq-100 | Shelton Green Alpha Fund | ||||||||||
Investment income | ||||||||||||
Interest income | $ | — | $ | 7,770 | $ | — | ||||||
Dividend income (net of foreign tax withheld: $418, $561, $93, $18,329 ,$29,531, $4,500, $14,415 respectively) | 363,221 | 3,634,223 | 374,443 | |||||||||
Total | 363,221 | 3,641,993 | 374,443 | |||||||||
Expenses | ||||||||||||
Management fees (Note 2) | 79,492 | 1,393,136 | 340,813 | |||||||||
Administration fees (Note 2) | 8,408 | 248,936 | 30,628 | |||||||||
Transfer agent fees | 7,162 | 103,512 | 12,655 | |||||||||
Accounting services | 3,969 | 74,665 | 10,195 | |||||||||
Custodian fees | 1,713 | 22,454 | 3,181 | |||||||||
Legal and audit fees | 6,667 | 39,751 | 9,731 | |||||||||
CCO fees (Note 2) | 852 | 23,100 | 3,139 | |||||||||
Trustees fees | 6,294 | 6,314 | 6,314 | |||||||||
Insurance | 417 | 10,080 | 1,205 | |||||||||
Printing | 2,882 | 27,882 | 6,463 | |||||||||
Registration and dues | 3,314 | 41,494 | 23,660 | |||||||||
12b-1 fees Class K (Note 2) | 9,663 | 40,465 | — | |||||||||
Shareholder service fees Class K (Note 2) | 9,663 | 40,465 | — | |||||||||
Licensing fee | — | 80,810 | — | |||||||||
Total expenses | 140,496 | 2,153,064 | 447,984 | |||||||||
Less reimbursement from manager (Note 2) | (27,667 | ) | (705,792 | ) | ||||||||
Net expenses | 112,829 | 1,447,272 | 447,984 | |||||||||
Net investment income | 250,392 | 2,194,721 | (73,541 | ) | ||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||
Net realized gain (loss) from security transactions | (54,902 | ) | (546,193 | ) | 233,318 | |||||||
Net realized gain (loss) from futures contracts | (3,917 | ) | ||||||||||
Change in unrealized appreciation (depreciation) of investments and foreign currency | (562,539 | ) | 31,177,381 | 2,027,068 | ||||||||
Change in unrealized appreciation (depreciation) of futures | — | (55,630 | ) | — | ||||||||
Net realized and unrealized gain (loss) on investments | (617,441 | ) | 30,571,641 | 2,260,386 | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (367,049 | ) | $ | 32,766,362 | $ | 2,186,845 |
See accompanying notes to financial statements.
35
Statements of Changes in Net Assets |
California Tax-Free | ||||||||
Year | Year | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 2,187,863 | $ | 2,269,029 | ||||
Net realized gain (loss) on investments | 304,753 | (70,054 | ) | |||||
Net realized gain (loss) on futures contracts | — | |||||||
Change in unrealized appreciation (depreciation) of investments | 1,576,243 | |||||||
Change in unrealized appreciation (depreciation) of futures and options contracts | — | (565,276 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,068,859 | 1,633,699 | ||||||
Distributions to shareholders | ||||||||
Distributions from net investment income | ||||||||
Direct shares | (2,175,617 | ) | (2,231,089 | ) | ||||
Distributions from realized capital gains on investments | (400,216 | ) | ||||||
Direct shares | — | — | ||||||
Capital share transactions | ||||||||
Increase (decrease) in net assets resulting from capital share transactions | (6,683,995 | ) | (6,900,262 | ) | ||||
Total increase (decrease) | (4,790,753 | ) | (7,897,868 | ) | ||||
Net assets | ||||||||
Beginning of year | 89,213,144 | 97,111,012 | ||||||
End of year | $ | 84,422,391 | $ | 89,213,144 | ||||
Including undistributed net investment income (loss) of: | $ | 149,312 | $ | 137,066 |
U.S. Government | Short-Term U.S. | The United States | ||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 298,077 | $ | 338,356 | $ | 9,035 | $ | (6,315 | ) | $ | — | $ | — | |||||||||||
Net realized gain (loss) on investments | 72,421 | 110,258 | 2,540 | 1,347 | 280 | 570 | ||||||||||||||||||
Net realized gain (loss) on futures contracts | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) of investments | 364,694 | 3,408 | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) of futures and options contracts | — | (33,502 | ) | — | (8,840 | ) | — | — | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 735,192 | 415,112 | 14,983 | (13,808 | ) | 280 | 570 | |||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions from net investment income | ||||||||||||||||||||||||
Direct shares | (266,570 | ) | (288,970 | ) | (9,179 | ) | — | — | — | |||||||||||||||
K shares | (37,994 | ) | (50,740 | ) | — | — | — | — | ||||||||||||||||
Distributions from realized capital gains on investments | ||||||||||||||||||||||||
Direct shares | — | — | — | (1,845 | ) | — | — | |||||||||||||||||
K shares | — | — | — | (469 | ) | — | — | |||||||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase (decrease) in net assets resulting from capital share transactions | (1,169,137 | ) | (3,701,972 | ) | (1,254,546 | ) | (941,437 | ) | (13,923,127 | ) | (20,035,664 | ) | ||||||||||||
Total increase (decrease) | (738,509 | ) | (3,626,570 | ) | (1,248,742 | ) | (957,559 | ) | (13,922,847 | ) | (20,035,094 | ) | ||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | 25,204,432 | 28,831,002 | 6,726,877 | 7,684,436 | 88,875,114 | 108,910,208 | ||||||||||||||||||
End of year | $ | 24,465,923 | $ | 25,204,432 | $ | 5,478,135 | $ | 6,726,877 | $ | 74,952,267 | $ | 88,875,114 | ||||||||||||
Including undistributed net investment income (loss) of: | $ | 59,581 | $ | 56,479 | $ | 133 | $ | (2,311 | ) | $ | — | $ | — |
See accompanying notes to financial statements.
36
Statements of Changes in Net Assets |
S&P 500 Index Fund | S&P MidCap Index Fund | S&P SmallCap Index Fund | ||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 2,514,160 | $ | 2,365,579 | $ | 1,373,661 | $ | 1,350,067 | $ | 259,915 | $ | 299,010 | ||||||||||||
Net realized gain (loss) on investments | 1,490,887 | 2,991,296 | 11,311,946 | 22,388,896 | 2,363,853 | 4,883,885 | ||||||||||||||||||
Net realized gain (loss) on futures contracts | 135,938 | 42,663 | (277,785 | ) | 82,801 | 12,852 | (6,605 | ) | ||||||||||||||||
Change in unrealized appreciation (depreciation) of investments | 11,501,497 | (4,885,328 | ) | 2,386,098 | (23,597,547 | ) | 3,549,714 | (3,257,313 | ) | |||||||||||||||
Change in unrealized appreciation (depreciation) of futures and options contracts | 79,738 | (41,106 | ) | 250,780 | (242,170 | ) | 119,415 | (62,685 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 15,722,220 | 473,104 | 15,044,700 | (17,953 | ) | 6,305,749 | 1,856,292 | |||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions from net investment income | ||||||||||||||||||||||||
Direct shares | (2,449,795 | ) | (2,188,450 | ) | (1,285,213 | ) | (1,462,739 | ) | (311,261 | ) | (271,094 | ) | ||||||||||||
K shares | (107,299 | ) | (93,268 | ) | (24,414 | ) | (23,818 | ) | (19,475 | ) | (12,716 | ) | ||||||||||||
Distributions from realized capital gains on investments | ||||||||||||||||||||||||
Direct shares | (3,080,771 | ) | (515,560 | ) | (21,413,287 | ) | (11,448,852 | ) | (3,975,481 | ) | (2,983,582 | ) | ||||||||||||
K shares | (193,578 | ) | (38,363 | ) | (782,857 | ) | (467,757 | ) | (944,574 | ) | (801,864 | ) | ||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase (decrease) in net assets resulting from capital share transactions | 2,234,800 | (1,326,328 | ) | 4,313,548 | (17,349,414 | ) | 4,930,461 | (241,934 | ) | |||||||||||||||
Total increase (decrease) | 12,125,577 | (3,688,865 | ) | (4,147,523 | ) | (30,770,533 | ) | 5,985,419 | (2,454,898 | ) | ||||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | 131,201,148 | 134,890,013 | 145,604,758 | 176,375,291 | 50,644,377 | 53,099,275 | ||||||||||||||||||
End of year | $ | 143,326,725 | $ | 131,201,148 | $ | 141,457,235 | $ | 145,604,758 | $ | 56,629,796 | $ | 50,644,377 | ||||||||||||
Including undistributed net investment income (loss) of: | $ | 729,442 | $ | 772,624 | $ | 81,216 | $ | 17,598 | $ | — | $ | 15,200 |
Shelton Core Value Fund | European Growth | Nasdaq-100 Index Fund | ||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income (loss) | $ | 3,361,213 | $ | 3,626,840 | $ | 250,392 | $ | 267,606 | $ | 2,194,721 | $ | 1,893,669 | ||||||||||||
Net realized gain (loss) on investments | 23,698,760 | 6,710,837 | (54,902 | ) | (446,043 | ) | (546,193 | ) | 1,877,898 | |||||||||||||||
Net realized gain (loss) on futures contracts | — | — | — | (3,917 | ) | (130,349 | ) | |||||||||||||||||
Net realized gain (loss) on options contracts | 395,040 | |||||||||||||||||||||||
Change in unrealized appreciation (depreciation) of investments | (10,421,053 | ) | (11,850,680 | ) | (562,539 | ) | (1,099,257 | ) | 31,177,381 | 4,682,134 | ||||||||||||||
Change in unrealized appreciation (depreciation) of futures | — | — | — | — | (55,630 | ) | 2,390 | |||||||||||||||||
Change in unrealized appreciation (depreciation) | (30,046 | ) | — | — | — | — | — | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 17,003,914 | (1,513,003 | ) | (367,049 | ) | (1,277,694 | ) | 32,766,362 | 8,325,742 | |||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions from net investment income | ||||||||||||||||||||||||
Direct shares | (3,442,257 | ) | (3,397,483 | ) | (150,036 | ) | (170,458 | ) | (2,491,488 | ) | (1,204,818 | ) | ||||||||||||
K shares | (92,200 | ) | (73,108 | ) | (84,936 | ) | (93,639 | ) | (53,742 | ) | (40,664 | ) | ||||||||||||
Distributions from realized capital gains on investments | ||||||||||||||||||||||||
Direct shares | (2,543,593 | ) | — | — | ||||||||||||||||||||
K shares | (81,226 | ) | — | — | ||||||||||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase (decrease) in net assets resulting from capital share transactions | (15,826,727 | ) | (13,052,453 | ) | (503,964 | ) | (2,285,236 | ) | 34,280,455 | 123,351,748 | ||||||||||||||
Total increase (decrease) | (4,982,089 | ) | (18,036,047 | ) | (1,105,985 | ) | (3,827,027 | ) | 64,501,587 | 130,432,008 | ||||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | 186,196,558 | 204,232,605 | 10,159,953 | 13,986,980 | 249,120,475 | 118,688,467 | ||||||||||||||||||
End of year | $ | 181,214,469 | $ | 186,196,558 | $ | 9,053,968 | $ | 10,159,953 | $ | 313,622,062 | $ | 249,120,475 | ||||||||||||
Including undistributed net investment income (loss) of: | $ | 1,001,503 | $ | 1,174,747 | $ | 42,643 | $ | 27,232 | $ | 535,666 | $ | 886,175 |
See accompanying notes to financial statements.
37
Statements of Changes in Net Assets |
Shelton Green Alpha Fund | ||||||||
Year | Year | |||||||
Operations | ||||||||
Net investment income (loss) | $ | (73,541 | ) | $ | (139,032 | ) | ||
Net realized gain (loss) on investments | 233,318 | (609,517 | ) | |||||
Net realized gain (loss) on futures contracts | — | |||||||
Change in unrealized appreciation (depreciation) of investments | 2,027,068 | |||||||
Change in unrealized appreciation (depreciation) of futures and options contracts | — | (3,604,605 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,186,845 | (4,353,154 | ) | |||||
Distributions to shareholders | ||||||||
Distributions from realized capital gains on investments | — | (783 | ) | |||||
Capital share transactions | ||||||||
Increase (decrease) in net assets resulting from capital share transactions | 5,097,056 | 11,513,073 | ||||||
Total increase (decrease) | 7,283,901 | 7,159,136 | ||||||
Net assets | ||||||||
Beginning of year | 29,595,626 | 22,436,490 | ||||||
End of year | $ | 36,879,527 | $ | 29,595,626 | ||||
Including undistributed net investment income (loss) of: | $ | — | $ | — |
California Tax-Free Income Fund | Direct Shares | |||||||||||||||
Year Ended | Year Ended | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares sold | 523,322 | $ | 6,197,158 | 194,746 | $ | 2,294,178 | ||||||||||
Shares issued in reinvestment of distributions | 139,165 | 1,646,439 | 166,886 | 1,963,103 | ||||||||||||
Shares repurchased | (1,222,216 | ) | (14,527,592 | ) | (949,266 | ) | (11,157,543 | ) | ||||||||
Net increase (decrease) | (559,729 | ) | $ | (6,683,995 | ) | (587,634 | ) | $ | (6,900,262 | ) |
U.S. Government Securities Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 652,912 | $ | 6,876,077 | 384,005 | $ | 4,014,509 | 94,649 | $ | 998,366 | 99,416 | $ | 1,042,202 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 24,511 | 258,321 | 26,664 | 279,002 | 3,610 | 37,994 | 4,842 | 50,736 | ||||||||||||||||||||||||
Shares repurchased | (721,453 | ) | (7,565,684 | ) | (692,719 | ) | (7,249,542 | ) | (168,243 | ) | (1,774,211 | ) | (175,786 | ) | (1,838,879 | ) | ||||||||||||||||
Net increase (decrease) | (44,030 | ) | $ | (431,286 | ) | (282,050 | ) | $ | (2,956,031 | ) | (69,984 | ) | $ | (737,851 | ) | (71,528 | ) | $ | (745,941 | ) |
Short-Term U.S. Government Bond Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 118,820 | $ | 1,208,657 | 65,249 | $ | 663,567 | 44,611 | $ | 447,203 | 36,445 | $ | 366,743 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 887 | 9,024 | 180 | 1,833 | — | — | 46 | 469 | ||||||||||||||||||||||||
Shares repurchased | (226,249 | ) | (2,300,719 | ) | (120,389 | ) | (1,224,074 | ) | (61,691 | ) | (618,711 | ) | (74,416 | ) | (749,975 | ) | ||||||||||||||||
Net increase (decrease) | (106,542 | ) | $ | (1,083,038 | ) | (54,960 | ) | $ | (558,674 | ) | (17,080 | ) | $ | (171,508 | ) | (37,925 | ) | $ | (382,763 | ) |
See accompanying notes to financial statements.
38
Statements of Changes in Net Assets |
The United States Treasury Trust | Direct Shares | K Shares | ||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
Shares/ | Shares/ | Shares/ | Shares/ | |||||||||||||
Shares sold | 40,928,958 | 63,327,313 | 991,258 | 827,570 | ||||||||||||
Shares issued in reinvestment of distributions | — | — | — | |||||||||||||
Shares repurchased | (54,670,886 | ) | (83,000,904 | ) | (1,172,457 | ) | (1,189,643 | ) | ||||||||
Net increase (decrease) | (13,741,928 | ) | (19,673,591 | ) | (181,199 | ) | (362,073 | ) |
S&P 500 Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 326,492 | $ | 13,176,413 | 371,368 | $ | 15,289,729 | 38,069 | $ | 1,530,003 | 43,932 | $ | 1,826,574 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 123,967 | 5,040,646 | 59,860 | 2,471,846 | 7,364 | 299,894 | 3,175 | 130,803 | ||||||||||||||||||||||||
Shares repurchased | (380,563 | ) | (15,315,397 | ) | (388,443 | ) | (16,086,221 | ) | (61,550 | ) | (2,496,759 | ) | (122,276 | ) | (4,959,059 | ) | ||||||||||||||||
Net increase (decrease) | 69,896 | $ | 2,901,662 | 42,785 | $ | 1,675,354 | (16,117 | ) | $ | (666,862 | ) | (75,169 | ) | $ | (3,001,682 | ) |
S&P MidCap Index Fund | Direct Shares | �� | K Shares | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 375,346 | $ | 9,533,143 | 222,791 | $ | 6,653,357 | 30,369 | $ | 764,766 | 37,031 | $ | 1,101,722 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 872,644 | 21,775,695 | 428,459 | 12,439,014 | 32,571 | 804,706 | 17,062 | 490,171 | ||||||||||||||||||||||||
Shares repurchased | (1,078,306 | ) | (27,097,754 | ) | (1,173,107 | ) | (34,829,973 | ) | (56,563 | ) | (1,467,008 | ) | (107,655 | ) | (3,203,705 | ) | ||||||||||||||||
Net increase (decrease) | 169,684 | $ | 4,211,084 | (521,857 | ) | $ | (15,737,602 | ) | 6,377 | $ | 102,464 | (53,562 | ) | $ | (1,611,812 | ) |
S&P SmallCap Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 362,655 | $ | 6,973,676 | 210,742 | $ | 4,481,991 | 71,439 | $ | 1,343,176 | 75,932 | $ | 1,585,647 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 216,445 | 4,229,379 | 157,320 | 3,210,535 | 50,276 | 964,049 | 40,774 | 814,580 | ||||||||||||||||||||||||
Shares repurchased | (291,983 | ) | (5,644,316 | ) | (319,314 | ) | (6,746,069 | ) | (153,843 | ) | (2,935,503 | ) | (171,559 | ) | (3,588,618 | ) | ||||||||||||||||
Net increase (decrease) | 287,117 | $ | 5,558,739 | 48,748 | $ | 946,457 | (32,128 | ) | $ | (628,278 | ) | (54,853 | ) | $ | (1,188,391 | ) |
Shelton Core Value Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 268,324 | $ | 6,816,479 | 348,617 | $ | 9,213,866 | 34,444 | $ | 861,737 | 40,590 | $ | 1,065,123 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 231,099 | 5,823,161 | 123,615 | 3,266,713 | 6,923 | 173,353 | 2,788 | 73,089 | ||||||||||||||||||||||||
Shares repurchased | (1,104,753 | ) | (28,213,953 | ) | (906,656 | ) | (24,032,821 | ) | (50,432 | ) | (1,287,504 | ) | (100,413 | ) | (2,638,423 | ) | ||||||||||||||||
Net increase (decrease) | (605,330 | ) | $ | (15,574,313 | ) | (434,424 | ) | $ | (11,552,242 | ) | (9,065 | ) | $ | (252,414 | ) | (57,035 | ) | $ | (1,500,211 | ) |
See accompanying notes to financial statements.
39
Statements of Changes in Net Assets |
European Growth & Income Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 116,077 | $ | 923,966 | 141,088 | $ | 1,284,773 | 87,517 | $ | 699,199 | 104,972 | $ | 954,715 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 18,957 | 148,891 | 19,013 | 169,309 | 10,794 | 84,936 | 10,454 | 93,639 | ||||||||||||||||||||||||
Shares repurchased | (147,754 | ) | (1,178,800 | ) | (339,374 | ) | (3,078,618 | ) | (146,934 | ) | (1,182,156 | ) | (186,358 | ) | (1,709,054 | ) | ||||||||||||||||
Net increase (decrease) | (12,720 | ) | $ | (105,943 | ) | (179,273 | ) | $ | (1,624,536 | ) | (48,623 | ) | $ | (398,021 | ) | (70,932 | ) | $ | (660,700 | ) |
Nasdaq-100 Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 11,206,740 | $ | 127,898,686 | 15,657,235 | $ | 171,345,548 | 391,917 | $ | 4,340,599 | 1,519,901 | $ | 16,196,760 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 212,176 | 2,388,270 | 104,547 | 1,150,685 | 5,053 | 53,742 | 3,105 | 33,272 | ||||||||||||||||||||||||
Shares repurchased | (8,115,814 | ) | (91,802,273 | ) | (4,895,158 | ) | (53,942,512 | ) | (762,296 | ) | (8,598,569 | ) | (1,057,574 | ) | (11,432,005 | ) | ||||||||||||||||
Net increase (decrease) | 3,303,102 | $ | 38,484,683 | 10,866,624 | $ | 118,553,721 | (365,326 | ) | $ | (4,204,228 | ) | 465,432 | $ | 4,798,027 |
Shelton Green Alpha Fund | Direct Shares | |||||||||||||||
Year Ended | Year Ended | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares sold | 1,190,114 | $ | 16,546,546 | 1,231,231 | $ | 18,525,990 | ||||||||||
Shares issued in reinvestment of distributions | — | — | 52 | 757 | ||||||||||||
Shares repurchased | (816,224 | ) | (11,449,490 | ) | (477,359 | ) | (7,013,674 | ) | ||||||||
Net increase (decrease) | 373,890 | $ | 5,097,056 | 753,924 | $ | 11,513,073 |
See accompanying notes to financial statements.
40
Financial Highlights (For a Share Outstanding Throughout Each Year) |
California Tax-Free Income Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 11.69 | $ | 11.81 | $ | 11.27 | $ | 11.89 | $ | 11.38 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.29 | 0.28 | 0.33 | 0.38 | 0.41 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.24 | (0.07 | ) | 0.54 | (0.62 | ) | 0.51 | |||||||||||||
Total from investment operations | 0.53 | 0.21 | 0.87 | (0.24 | ) | 0.92 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.28 | ) | (0.33 | ) | (0.38 | ) | (0.41 | ) | ||||||||||
Distributions from capital gains | — | (0.05 | ) | — | — | — | ||||||||||||||
Total distributions | (0.29 | ) | (0.33 | ) | (0.33 | ) | (0.38 | ) | (0.41 | ) | ||||||||||
Net asset value, end of year | $ | 11.93 | $ | 11.69 | $ | 11.81 | $ | 11.27 | $ | 11.89 | ||||||||||
Total return | 4.60 | % | 1.78 | % | 7.80 | % | (2.12 | )% | 8.17 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 84,422 | $ | 89,213 | $ | 97,111 | $ | 100,233 | $ | 105,786 | ||||||||||
Ratio of expenses to average net assets | 0.69 | % | 0.71 | % | 0.73 | % | 0.71 | % | 0.72 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | 2.47 | % | 2.41 | % | 2.88 | % | 3.29 | % | 3.50 | % | ||||||||||
Portfolio turnover | 19 | % | 12 | % | 10 | % | 11 | % | 10 | % |
U.S. Government Securities Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.42 | $ | 10.40 | $ | 10.38 | $ | 10.93 | $ | 10.79 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.14 | 0.14 | 0.19 | 0.19 | 0.20 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.20 | 0.02 | 0.02 | (0.56 | ) | 0.13 | ||||||||||||||
Total from investment operations | 0.34 | 0.16 | 0.21 | (0.37 | ) | 0.33 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.15 | ) | (0.14 | ) | (0.19 | ) | (0.18 | ) | (0.19 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.15 | ) | (0.14 | ) | (0.19 | ) | (0.18 | ) | (0.19 | ) | ||||||||||
Net asset value, end of year | $ | 10.61 | $ | 10.42 | $ | 10.40 | $ | 10.38 | $ | 10.93 | ||||||||||
Total return | 3.25 | % | 1.58 | % | 2.03 | % | (3.38 | )% | 3.13 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 19,754 | $ | 19,855 | $ | 22,746 | $ | 22,968 | $ | 26,927 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.82 | % | 0.83 | % | 0.86 | % | 0.86 | % | 0.87 | % | ||||||||||
After expense reimbursements | 0.74 | % | 0.74 | % | 0.72 | % | 0.74 | % | 0.74 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 1.25 | % | 1.27 | % | 1.68 | % | 1.62 | % | 1.69 | % | ||||||||||
After expense reimbursements | 1.33 | % | 1.38 | % | 1.82 | % | 1.76 | % | 1.82 | % | ||||||||||
Portfolio turnover | 18 | % | 18 | % | 32 | % | 6 | % | 9 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.43 | $ | 10.41 | $ | 10.40 | $ | 10.96 | $ | 10.82 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.09 | 0.09 | 0.14 | 0.13 | 0.14 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.20 | 0.03 | 0.01 | (0.55 | ) | 0.14 | ||||||||||||||
Total from investment operations | 0.29 | 0.12 | 0.15 | (0.42 | ) | 0.28 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.10 | ) | (0.14 | ) | (0.14 | ) | (0.14 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.08 | ) | (0.10 | ) | (0.14 | ) | (0.14 | ) | (0.14 | ) | ||||||||||
Net asset value, end of year | $ | 10.64 | $ | 10.43 | $ | 10.41 | $ | 10.40 | $ | 10.96 | ||||||||||
Total return | 2.77 | % | 1.13 | % | 1.48 | % | (3.88 | )% | 2.60 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4,712 | $ | 5,349 | $ | 6,085 | $ | 7,103 | $ | 8,202 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.32 | % | 1.33 | % | 1.36 | % | 1.36 | % | 1.37 | % | ||||||||||
After expense reimbursements | 1.24 | % | 1.24 | % | 1.22 | % | 1.24 | % | 1.24 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.75 | % | 0.77 | % | 1.18 | % | 1.12 | % | 1.19 | % | ||||||||||
After expense reimbursements | 0.84 | % | 0.88 | % | 1.32 | % | 1.24 | % | 1.32 | % | ||||||||||
Portfolio turnover | 18 | % | 18 | % | 32 | % | 6 | % | 9 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
41
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
Short-Term U.S. Government Bond Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.16 | $ | 10.17 | $ | 10.17 | $ | 10.23 | $ | 10.32 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.02 | 0.00 | (0.01 | ) | (0.01 | ) | 0.05 | |||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.02 | (0.01 | ) | 0.01 | (0.04 | ) | (0.07 | ) | ||||||||||||
Total from investment operations | 0.04 | (0.01 | ) | — | (0.05 | ) | (0.02 | ) | ||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | — | — | — | (0.05 | ) | |||||||||||||
Distributions from capital gains | — | (0.00 | )(b) | — | (0.01 | ) | (0.02 | ) | ||||||||||||
Total distributions | (0.02 | ) | (0.00 | ) | — | (0.01 | ) | (0.07 | ) | |||||||||||
Net asset value, end of year | $ | 10.18 | $ | 10.16 | $ | 10.17 | $ | 10.17 | $ | 10.23 | ||||||||||
Total return | 0.38 | % | (0.07 | )% | 0.00 | % | (0.43 | )% | (0.20 | )% | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4,148 | $ | 5,223 | $ | 5,789 | $ | 6,819 | $ | 9,021 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.95 | % | 0.97 | % | 1.06 | % | 1.07 | % | 0.98 | % | ||||||||||
After expense reimbursements | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | (0.12 | )% | (0.36 | )% | (0.60 | )% | (0.53 | )% | 0.10 | % | ||||||||||
After expense reimbursements | 0.24 | % | 0.02 | % | (0.13 | )% | (0.05 | )% | 0.49 | % | ||||||||||
Portfolio turnover | 47 | % | 33 | % | 28 | % | 50 | % | 13 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.03 | $ | 10.10 | $ | 10.15 | $ | 10.25 | $ | 10.34 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | (0.03 | ) | (0.05 | ) | (0.06 | ) | (0.06 | ) | (0.00 | ) | ||||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.02 | (0.02 | ) | 0.01 | (0.03 | ) | (0.07 | ) | ||||||||||||
Total from investment operations | (0.01 | ) | (0.07 | ) | (0.05 | ) | (0.09 | ) | (0.07 | ) | ||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | |||||||||||||||
Distributions from capital gains | — | (0.00 | )(b) | — | (0.01 | ) | (0.02 | ) | ||||||||||||
Total distributions | — | (0.00 | ) | — | (0.01 | ) | (0.02 | ) | ||||||||||||
Net asset value, end of year | $ | 10.02 | $ | 10.03 | $ | 10.10 | $ | 10.15 | $ | 10.25 | ||||||||||
Total return | (0.10 | )% | (0.66 | )% | (0.49 | )% | (0.85 | )% | (0.66 | )% | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 1,330 | $ | 1,503 | $ | 1,896 | $ | 1,898 | $ | 2,060 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.45 | % | 1.47 | % | 1.56 | % | 1.57 | % | 1.48 | % | ||||||||||
After expense reimbursements | 1.09 | % | 1.09 | % | 1.09 | % | 1.09 | % | 1.09 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | (0.61 | )% | (0.86 | )% | (1.10 | )% | (1.04 | )% | (0.40 | )% | ||||||||||
After expense reimbursements | (0.26 | )% | (0.48 | )% | (0.63 | )% | (0.56 | )% | (0.01 | )% | ||||||||||
Portfolio turnover | 47 | % | 33 | % | 28 | % | 50 | % | 13 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
See accompanying notes to financial statements.
42
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
The United States Treasury Trust Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 1.00 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | — | — | — | — | — | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | — | — | — | — | — | |||||||||||||||
Total from investment operations | — | — | — | — | — | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | |||||||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | — | — | — | — | — | |||||||||||||||
Net asset value, end of year | $ | 1.00 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||
Total return | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 72,482 | $ | 86,224 | $ | 105,897 | $ | 69,479 | $ | 74,617 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.71 | % | 0.70 | % | 0.73 | % | 0.76 | % | 0.78 | % | ||||||||||
After expense reimbursements | 0.22 | %(c) | 0.03 | %(c) | 0.03 | %(c) | 0.07 | %(c) | 0.05 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | (0.49 | )% | (0.67 | )% | (0.70 | )% | (0.69 | )% | (0.73 | )% | ||||||||||
After expense reimbursements | 0.00 | %(c) | 0.00 | %(c) | 0.00 | %(c) | 0.00 | %(c) | 0.00 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 1.00 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | — | — | — | — | — | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | — | — | — | — | — | |||||||||||||||
Total from investment operations | — | — | — | — | — | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | |||||||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | — | — | — | — | — | |||||||||||||||
Net asset value, end of year | $ | 1.00 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||
Total return | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 2,470 | $ | 2,651 | $ | 3,013 | $ | 3,150 | $ | 2,508 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.71 | % | 0.70 | % | 0.73 | % | 0.76 | % | 0.77 | % | ||||||||||
After expense reimbursements | 0.22 | %(c) | 0.03 | %(c) | 0.03 | %(c) | 0.07 | %(c) | 0.05 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | (0.49 | )% | (0.67 | )% | (0.70 | )% | (0.69 | )% | (0.73 | )% | ||||||||||
After expense reimbursements | 0.00 | %(c) | 0.00 | %(c) | 0.00 | %(c) | 0.00 | %(c) | 0.00 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
(c) | Includes negative yield waiver adjustment. |
See accompanying notes to financial statements.
43
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
S&P 500 Index Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 39.88 | $ | 40.61 | $ | 33.59 | $ | 28.78 | $ | 24.91 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.76 | 0.72 | 0.62 | 0.57 | 0.50 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 3.99 | (0.58 | ) | 7.57 | 4.71 | 3.85 | ||||||||||||||
Total from investment operations | 4.75 | 0.14 | 8.19 | 5.28 | 4.35 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.78 | ) | (0.70 | ) | (0.60 | ) | (0.47 | ) | (0.48 | ) | ||||||||||
Distributions from capital gains | (0.99 | ) | (0.17 | ) | (0.57 | ) | — | — | ||||||||||||
Total distributions | (1.77 | ) | (0.87 | ) | (1.17 | ) | (0.47 | ) | (0.48 | ) | ||||||||||
Net asset value, end of year | $ | 42.86 | $ | 39.88 | $ | 40.61 | $ | 33.59 | $ | 28.78 | ||||||||||
Total return | 12.21 | % | 0.29 | % | 24.75 | % | 18.50 | % | 17.68 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 135,346 | $ | 123,138 | $ | 123,654 | $ | 101,124 | $ | 85,269 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.47 | % | 0.47 | % | 0.50 | % | 0.52 | % | 0.54 | % | ||||||||||
After expense reimbursements | 0.36 | % | 0.36 | % | 0.36 | % | 0.36 | % | 0.36 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 1.77 | % | 1.63 | % | 1.52 | % | 1.65 | % | 1.70 | % | ||||||||||
After expense reimbursements | 1.88 | % | 1.74 | % | 1.66 | % | 1.81 | % | 1.88 | % | ||||||||||
Portfolio turnover | 1 | % | 3 | % | 1 | % | 3 | % | 3 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 39.87 | $ | 40.50 | $ | 33.63 | $ | 28.83 | $ | 24.95 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.56 | 0.51 | 0.43 | 0.41 | 0.37 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 3.99 | (0.57 | ) | 7.55 | 4.74 | 3.86 | ||||||||||||||
Total from investment operations | 4.55 | (0.06 | ) | 7.98 | 5.15 | 4.23 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.55 | ) | (0.40 | ) | (0.54 | ) | (0.35 | ) | (0.35 | ) | ||||||||||
Distributions from capital gains | (0.99 | ) | (0.17 | ) | (0.57 | ) | — | — | ||||||||||||
Total distributions | (1.54 | ) | (0.57 | ) | (1.11 | ) | (0.35 | ) | (0.35 | ) | ||||||||||
Net asset value, end of year | $ | 42.88 | $ | 39.87 | $ | 40.50 | $ | 33.63 | $ | 28.83 | ||||||||||
Total return | 11.65 | % | (0.19 | )% | 24.08 | % | 17.95 | % | 17.08 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 7,981 | $ | 8,063 | $ | 11,236 | $ | 10,093 | $ | 8,166 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.97 | % | 0.97 | % | 1.00 | % | 1.02 | % | 1.04 | % | ||||||||||
After expense reimbursements | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | 0.86 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 1.26 | % | 1.13 | % | 1.01 | % | 1.15 | % | 1.20 | % | ||||||||||
After expense reimbursements | 1.37 | % | 1.24 | % | 1.15 | % | 1.31 | % | 1.38 | % | ||||||||||
Portfolio turnover | 1 | % | 3 | % | 1 | % | 3 | % | 3 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
44
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
S&P Midcap Index Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 28.41 | $ | 30.95 | $ | 26.54 | $ | 23.11 | $ | 21.68 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.26 | 0.25 | 0.24 | 0.30 | 0.18 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 2.73 | (0.36 | ) | 5.61 | 4.81 | 2.35 | ||||||||||||||
Total from investment operations | 2.99 | (0.11 | ) | 5.85 | 5.11 | 2.53 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.28 | ) | (0.24 | ) | (0.27 | ) | (0.15 | ) | ||||||||||
Distributions from capital gains | (4.47 | ) | (2.15 | ) | (1.20 | ) | (1.41 | ) | (0.95 | ) | ||||||||||
Total distributions | (4.71 | ) | (2.43 | ) | (1.44 | ) | (1.68 | ) | (1.10 | ) | ||||||||||
Net asset value, end of year | $ | 26.69 | $ | 28.41 | $ | 30.95 | $ | 26.54 | $ | 23.11 | ||||||||||
Total return | 11.86 | % | (0.45 | )% | 22.63 | % | 23.39 | % | 12.22 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 136,371 | $ | 140,361 | $ | 169,020 | $ | 143,699 | $ | 123,478 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.62 | % | 0.62 | % | 0.63 | % | 0.64 | % | 0.65 | % | ||||||||||
After expense reimbursements | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | % | 0.58 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.98 | % | 0.81 | % | 0.76 | % | 1.04 | % | 0.72 | % | ||||||||||
After expense reimbursements | 1.02 | % | 0.85 | % | 0.81 | % | 1.10 | % | 0.80 | % | ||||||||||
Portfolio turnover | 11 | % | 15 | % | 10 | % | 8 | % | 11 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 28.18 | $ | 30.69 | $ | 26.38 | $ | 23.00 | $ | 21.57 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.13 | 0.10 | 0.09 | 0.18 | 0.06 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 2.71 | (0.35 | ) | 5.58 | 4.77 | 2.36 | ||||||||||||||
Total from investment operations | 2.84 | (0.25 | ) | 5.67 | 4.95 | 2.42 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.12 | ) | (0.11 | ) | (0.16 | ) | (0.16 | ) | (0.04 | ) | ||||||||||
Distributions from capital gains | (4.47 | ) | (2.15 | ) | (1.20 | ) | (1.41 | ) | (0.95 | ) | ||||||||||
Total distributions | (4.59 | ) | (2.26 | ) | (1.36 | ) | (1.57 | ) | (0.99 | ) | ||||||||||
Net asset value, end of year | $ | 26.43 | $ | 28.18 | $ | 30.69 | $ | 26.38 | $ | 23.00 | ||||||||||
Total return | 11.31 | % | (0.93 | )% | 22.01 | % | 22.75 | % | 11.69 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,086 | $ | 5,244 | $ | 7,355 | $ | 7,587 | $ | 6,417 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.12 | % | 1.12 | % | 1.13 | % | 1.14 | % | 1.15 | % | ||||||||||
After expense reimbursements | 1.08 | % | 1.08 | % | 1.08 | % | 1.08 | % | 1.08 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.48 | % | 0.31 | % | 0.26 | % | 0.54 | % | 0.22 | % | ||||||||||
After expense reimbursements | 0.51 | % | 0.35 | % | 0.31 | % | 0.61 | % | 0.29 | % | ||||||||||
Portfolio turnover | 11 | % | 15 | % | 10 | % | 8 | % | 11 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
45
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
S&P Smallcap Index Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 20.60 | $ | 21.55 | $ | 19.62 | $ | 15.71 | $ | 14.59 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.12 | 0.14 | 0.10 | 0.14 | 0.09 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 2.29 | 0.58 | 3.26 | 3.94 | 2.28 | |||||||||||||||
Total from investment operations | 2.41 | 0.72 | 3.36 | 4.08 | 2.37 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.14 | ) | (0.13 | ) | (0.09 | ) | (0.14 | ) | (0.08 | ) | ||||||||||
Distributions from capital gains | (2.00 | ) | (1.54 | ) | (1.34 | ) | (0.03 | ) | (1.17 | ) | ||||||||||
Total distributions | (2.14 | ) | (1.67 | ) | (1.43 | ) | (0.17 | ) | (1.25 | ) | ||||||||||
Net asset value, end of year | $ | 20.87 | $ | 20.60 | $ | 21.55 | $ | 19.62 | $ | 15.71 | ||||||||||
Total return | 12.48 | % | 3.50 | % | 17.28 | % | 26.14 | % | 17.35 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 47,351 | $ | 40,823 | $ | 41,651 | $ | 34,838 | $ | 26,325 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.77 | % | 0.78 | % | 0.82 | % | 0.89 | % | 0.92 | % | ||||||||||
After expense reimbursements | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.56 | % | 0.62 | % | 0.38 | % | 0.57 | % | 0.45 | % | ||||||||||
After expense reimbursements | 0.60 | % | 0.66 | % | 0.46 | % | 0.72 | % | 0.63 | % | ||||||||||
Portfolio turnover | 12 | % | 12 | % | 13 | % | 15 | % | 0 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 20.24 | $ | 21.19 | $ | 19.36 | $ | 15.52 | $ | 14.42 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.02 | 0.03 | (0.01 | ) | 0.06 | 0.02 | ||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 2.25 | 0.58 | 3.21 | 3.87 | 2.26 | |||||||||||||||
Total from investment operations | 2.27 | 0.61 | 3.20 | 3.93 | 2.28 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.02 | ) | (0.03 | ) | (0.06 | ) | (0.01 | ) | ||||||||||
Distributions from capital gains | (2.00 | ) | (1.54 | ) | (1.34 | ) | (0.03 | ) | (1.17 | ) | ||||||||||
Total distributions | (2.04 | ) | (1.56 | ) | (1.37 | ) | (0.09 | ) | (1.18 | ) | ||||||||||
Net asset value, end of year | $ | 20.47 | $ | 20.24 | $ | 21.19 | $ | 19.36 | $ | 15.52 | ||||||||||
Total return | 11.89 | % | 3.03 | % | 16.64 | % | 25.47 | % | 16.83 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 9,279 | $ | 9,821 | $ | 11,448 | $ | 11,402 | $ | 9,505 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.28 | % | 1.28 | % | 1.32 | % | 1.39 | % | 1.42 | % | ||||||||||
After expense reimbursements | 1.24 | % | 1.24 | % | 1.24 | % | 1.24 | % | 1.24 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.06 | % | 0.12 | % | (0.13 | )% | 0.10 | % | (0.05 | )% | ||||||||||
After expense reimbursements | 0.10 | % | 0.16 | % | (0.04 | )% | 0.25 | % | 0.13 | % | ||||||||||
Portfolio turnover | 12 | % | 12 | % | 13 | % | 15 | % | 0 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
46
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
Shelton Core Value Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 25.26 | $ | 25.98 | $ | 21.58 | $ | 18.13 | $ | 16.17 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.48 | 0.48 | 0.38 | 0.37 | 0.32 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 1.94 | (0.74 | ) | 4.42 | 3.37 | 1.95 | ||||||||||||||
Total from investment operations | 2.42 | (0.26 | ) | 4.80 | 3.74 | 2.27 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.50 | ) | (0.46 | ) | (0.40 | ) | (0.29 | ) | (0.31 | ) | ||||||||||
Distributions from capital gains | (0.36 | ) | — | — | — | — | ||||||||||||||
Total distributions | (0.86 | ) | (0.46 | ) | (0.40 | ) | (0.29 | ) | (0.31 | ) | ||||||||||
Net asset value, end of year | $ | 26.82 | $ | 25.26 | $ | 25.98 | $ | 21.58 | $ | 18.13 | ||||||||||
Total return | 9.83 | % | (1.07 | )% | 22.45 | % | 20.80 | % | 14.20 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 175,317 | $ | 180,408 | $ | 196,820 | $ | 157,350 | $ | 140,741 | ||||||||||
Ratio of expenses to average net assets: | 0.78 | % | 0.76 | % | 0.83 | % | 0.84 | % | 0.88 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.90 | % | 1.80 | % | 1.58 | % | 1.83 | % | 1.85 | % | ||||||||||
Portfolio turnover | 20 | % | 3 | % | 3 | % | 5 | % | 4 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 25.09 | $ | 25.76 | $ | 21.40 | $ | 18.00 | $ | 16.06 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.35 | 0.34 | 0.25 | 0.27 | 0.23 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 1.93 | (0.73 | ) | 4.39 | 3.34 | 1.93 | ||||||||||||||
Total from investment operations | 2.28 | (0.39 | ) | 4.64 | 3.61 | 2.16 | ||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.40 | ) | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.22 | ) | ||||||||||
Distributions from capital gains | (0.36 | ) | — | — | — | — | ||||||||||||||
Total distributions | (0.76 | ) | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.22 | ) | ||||||||||
Net asset value, end of year | $ | 26.61 | $ | 25.09 | $ | 25.76 | $ | 21.40 | $ | 18.00 | ||||||||||
Total return | 9.30 | % | (1.56 | )% | 21.81 | % | 20.20 | % | 13.59 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,897 | $ | 5,789 | $ | 7,413 | $ | 7,924 | $ | 6,640 | ||||||||||
Ratio of expenses to average net assets: | 1.28 | % | 1.26 | % | 1.33 | % | 1.34 | % | 1.38 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.40 | % | 1.30 | % | 1.08 | % | 1.33 | % | 1.35 | % | ||||||||||
Portfolio turnover | 20 | % | 3 | % | 3 | % | 5 | % | 4 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
47
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
European Growth & Income Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 8.47 | $ | 9.64 | $ | 8.37 | $ | 7.40 | $ | 7.62 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.23 | 0.22 | 0.20 | 0.23 | 0.22 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | (0.53 | ) | (1.17 | ) | 1.30 | 0.94 | (0.21 | ) | ||||||||||||
Total from investment operations | (0.30 | ) | (0.95 | ) | 1.50 | 1.17 | 0.01 | |||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | (0.22 | ) | (0.23 | ) | (0.20 | ) | (0.23 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.22 | ) | (0.22 | ) | (0.23 | ) | (0.20 | ) | (0.23 | ) | ||||||||||
Net asset value, end of year | $ | 7.95 | $ | 8.47 | $ | 9.64 | $ | 8.37 | $ | 7.40 | ||||||||||
Total return | (3.49 | )% | (9.91 | )% | 17.92 | % | 15.96 | % | 0.20 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,445 | $ | 5,906 | $ | 8,452 | $ | 7,306 | $ | 6,314 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.30 | % | 1.26 | % | 1.29 | % | 1.38 | % | 1.43 | % | ||||||||||
After expense reimbursements | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 2.58 | % | 2.17 | % | 1.81 | % | 2.46 | % | 2.58 | % | ||||||||||
After expense reimbursements | 2.88 | % | 2.43 | % | 2.10 | % | 2.84 | % | 3.01 | % | ||||||||||
Portfolio turnover | 0 | % | 0 | % | 15 | % | 3 | % | 0 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 8.50 | $ | 9.68 | $ | 8.38 | $ | 7.41 | $ | 7.63 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.19 | 0.18 | 0.14 | 0.19 | 0.19 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | (0.53 | ) | (1.17 | ) | 1.30 | 0.95 | (0.22 | ) | ||||||||||||
Total from investment operations | (0.34 | ) | (0.99 | ) | 1.44 | 1.14 | (0.03 | ) | ||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.19 | ) | (0.14 | ) | (0.17 | ) | (0.19 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.18 | ) | (0.19 | ) | (0.14 | ) | (0.17 | ) | (0.19 | ) | ||||||||||
Net asset value, end of year | $ | 7.98 | $ | 8.50 | $ | 9.68 | $ | 8.38 | $ | 7.41 | ||||||||||
Total return | (3.99 | )% | (10.34 | )% | 17.19 | % | 15.47 | % | (0.33 | )% | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 3,609 | $ | 4,254 | $ | 5,535 | $ | 5,795 | $ | 5,169 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.80 | % | 1.76 | % | 1.79 | % | 1.88 | % | 1.93 | % | ||||||||||
After expense reimbursements | 1.50 | % | 1.50 | % | 1.49 | % | 1.50 | % | 1.50 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 2.09 | % | 1.70 | % | 1.22 | % | 1.92 | % | 2.13 | % | ||||||||||
After expense reimbursements | 2.39 | % | 1.96 | % | 1.51 | % | 2.31 | % | 2.56 | % | ||||||||||
Portfolio turnover | 0 | % | 0 | % | 15 | % | 3 | % | 0 | % |
(a) | Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
48
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
Nasdaq-100 Index Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 11.00 | $ | 10.47 | $ | 7.92 | $ | 7.04 | $ | 5.67 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment income (loss) (a) | 0.09 | 0.11 | 0.11 | 0.08 | 0.04 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 1.27 | 0.49 | 2.55 | 0.86 | 1.36 | |||||||||||||||
Total from investment operations | 1.36 | 0.60 | 2.66 | 0.94 | 1.40 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.11 | ) | (0.07 | ) | (0.11 | ) | (0.06 | ) | (0.03 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.11 | ) | (0.07 | ) | (0.11 | ) | (0.06 | ) | (0.03 | ) | ||||||||||
Net asset value, end of year | $ | 12.25 | $ | 11.00 | $ | 10.47 | $ | 7.92 | $ | 7.04 | ||||||||||
Total return | 12.46 | % | 5.78 | % | 33.77 | % | 13.46 | % | 24.78 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 298,123 | $ | 231,322 | $ | 106,475 | $ | 54,259 | $ | 36,220 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 0.74 | % | 0.75 | % | 0.79 | % | 0.83 | % | 0.88 | % | ||||||||||
After expense reimbursements | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.57 | % | 0.72 | % | 0.95 | % | 0.73 | % | 0.27 | % | ||||||||||
After expense reimbursements | 0.82 | % | 0.98 | % | 1.25 | % | 1.08 | % | 0.66 | % | ||||||||||
Portfolio turnover | 7 | % | 9 | % | 3 | % | 13 | % | 24 | % |
K Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | Year Ended August 31, 2013 | Year Ended August 31, 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.69 | $ | 10.18 | $ | 7.71 | $ | 6.85 | $ | 5.53 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||
Net investment (loss) (a) | 0.03 | 0.05 | 0.06 | 0.04 | 0.01 | |||||||||||||||
Net gain (loss) on securities (both realized and unrealized) | 1.24 | 0.48 | 2.48 | 0.84 | 1.31 | |||||||||||||||
Total from investment operations | 1.27 | 0.53 | 2.54 | 0.88 | 1.32 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | (0.02 | ) | (0.07 | ) | (0.02 | ) | (0.00 | ) | ||||||||||
Distributions from capital gains | — | — | — | — | — | |||||||||||||||
Total distributions | (0.03 | ) | (0.02 | ) | (0.07 | ) | (0.02 | ) | — | |||||||||||
Net asset value, end of year | $ | 11.93 | $ | 10.69 | $ | 10.18 | $ | 7.71 | $ | 6.85 | ||||||||||
Total return | 11.96 | % | 5.25 | % | 33.11 | % | 12.95 | % | 23.94 | % | ||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 15,500 | $ | 17,799 | $ | 12,214 | $ | 9,700 | $ | 9,473 | ||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||
Before expense reimbursements | 1.24 | % | 1.25 | % | 1.29 | % | 1.33 | % | 1.38 | % | ||||||||||
After expense reimbursements | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before expense reimbursements | 0.05 | % | 0.22 | % | 0.39 | % | 0.24 | % | (0.28 | )% | ||||||||||
After expense reimbursements | 0.30 | % | 0.48 | % | 0.69 | % | 0.58 | % | 0.11 | % | ||||||||||
Portfolio turnover | 7 | % | 9 | % | 3 | % | 13 | % | 24 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
See accompanying notes to financial statements.
49
Financial Highlights (For a Share Outstanding Throughout Each Year) (Continued) |
Shelton Green Alpha Fund Direct Shares | Year Ended August 31, 2016 | Year Ended August 31, 2015 | Year Ended August 31, 2014 | March 12, 2013(c) to August 31, 2013 | ||||||||||||
Net asset value, beginning of year | $ | 13.67 | $ | 15.90 | $ | 11.96 | $ | 10.00 | ||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||
Net investment income (loss) (a) | (0.03 | ) | (0.08 | ) | (0.08 | ) | (0.01 | ) | ||||||||
Net gain (loss) on securities (both realized and unrealized) | 0.89 | (2.15 | ) | 4.02 | 1.97 | |||||||||||
Total from investment operations | 0.86 | (2.23 | ) | 3.94 | 1.96 | |||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||
Dividends from net investment income | — | — | — | — | ||||||||||||
Distributions from capital gains | — | — | (b) | — | — | |||||||||||
Total distributions | — | — | — | — | ||||||||||||
Net asset value, end of year | $ | 14.53 | $ | 13.67 | $ | 15.90 | $ | 11.96 | ||||||||
Total return | 6.29 | % | (14.02 | )% | 32.94 | % | 19.60 | % | ||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||
Net assets, end of year (000s) | $ | 36,880 | $ | 29,596 | $ | 22,436 | $ | 4,623 | ||||||||
Ratio of expenses to average net assets: | ||||||||||||||||
Before expense reimbursements | 1.31 | % | 1.34 | % | 1.54 | % | 5.16 | % | ||||||||
After expense reimbursements | 1.31 | % | 1.34 | % | 1.31 | % | 1.24 | % | ||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||
Before expense reimbursements | (0.22 | )% | (0.53 | )% | (0.78 | )% | (4.11 | )% | ||||||||
After expense reimbursements | (0.22 | )% | (0.53 | )% | (0.55 | )% | (0.19 | )% | ||||||||
Portfolio turnover | 13 | % | 22 | % | 5 | % | 12 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
(c) | Commencement of operations. |
See accompanying notes to financial statements.
50
Shelton Funds | Notes to Financial Statements | August 31, 2016 |
Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Income Fund, U.S. Government Securities Fund, Short-Term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund (the “Funds”) are each a series of shares of beneficial interest of the Shelton Funds (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”. The Trust is organized as a Delaware statutory trust and is authorized to issue an unlimited number of no par value shares in one or more series. The Trust, originally organized as two separate Massachusetts business trusts formed by Declarations of Trust dated September 11, 1985, as subsequently amended, was reorganized into a single Delaware statutory trust after the close of trading on December 29, 2006. The investment objectives of the Funds are as follows: California Tax-Free Income Fund seeks as high a level of income, exempt from regular federal and California personal income taxes, as is consistent with prudent investment management and safety of capital. U.S. Government Securities Fund seeks liquidity, safety from credit risk and as high a level of income as is consistent with these objectives by investing in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities, primarily in U.S. Treasury Securities and Government National Mortgage Association Certificates. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors’ principal and as high a level of income as is consistent with these objectives by investing in mainly U.S. government securities. The United States Treasury Trust seeks capital preservation, safety, liquidity, and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor’s 500 Composite Stock Price Index, the Standard & Poor’s MidCap 400 Index and the Standard & Poor’s SmallCap 600 Index, respectively. The Shelton Core Value Fund seeks a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income by investing in large-sized European companies. Shelton Green Alpha Fund seeks to achieve long-term capital appreciation by investing in stocks in the green economy by investing in common stocks of companies believed to be leaders in managing environmental risks and opportunities. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index.
The Shelton Funds began offering additional classes of shares, Class K, on October 16, 2003. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. The following is a summary of significant accounting policies followed by the Funds.
(a) Security Valuation – Equity securities listed on a national exchange are valued at the last reported sales price. Futures contracts are valued at the settle price, depending on the exchange the contract trades on, typically as of 4:15 p.m., Eastern Time. Municipal securities are valued by an independent pricing service at a price determined by a matrix pricing method. This technique generally considers such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. U.S. government securities for which market quotations are readily available are valued at the mean between the closing bid and asked prices provided by an independent pricing service. U.S. agency securities consisting of mortgage pass-through certificates are valued using dealer quotations provided by an independent pricing service. U.S. Treasury Bills are valued at amortized cost which approximates market value. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. The United States Treasury Trust securities are valued at amortized cost, in accordance with procedures adopted by the Board of Trustees and which the Board of Trustees has determined in good faith reflects the market-based net asset value per share.
Securities for which market quotes are not readily available from the Trust’s third party pricing service are valued at fair value, determined in good faith and in accordance with procedures adopted by the Board of Trustees. The Board has delegated to its Pricing Committee the responsibility for determining the fair value, subject to the Board oversight and the review of the pricing decisions at its quarterly meetings.
(b) Futures Contracts – Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of cash, as collateral, for the account of the broker (a Fund’s agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts.
(c) Options – The Shelton Core Value Fund may write call options. When an option is written, the Fund receives a premium and becomes obligated to sell the underlying security at a fixed price, upon exercise of the option. Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as the Options Clearing Corporation). The difference between the premium received or paid, and the market value of the option, is recorded as unrealized appreciation or depreciation. When an option is exercised, the proceeds of the security sold are adjusted by the amount of premium received. Upon the expiration of the option, a gain or loss is reported in the Statement of Operations. The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or give up the opportunity for profit.
(d) Federal Income Taxes – No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders.
(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Shelton Green Alpha Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The Fund intends to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00.
(f) Concentration – The California Tax-Free Income Fund invests in debt instruments of municipal issuers. The issuers’ abilities to meet their obligations may be affected by economic developments in the state of California.
(g) Use of Estimates in Financial Statements – In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates.
(h) Share Valuations – The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund’s shares will not be priced on the days on which the NYSE is closed for trading. Bond and Money Market funds are closed on Columbus Day (observed) and Veteran’s Day (observed). The offering and redemption price per share of each Fund is equal to a Fund’s NAV per share.
51
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
(i) Accounting for Uncertainty in Income Taxes – The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years (2013-2015), or expected to be taken in the Fund’s 2016 tax returns. The Fund identifies its major tax jurisdictions as U.S. Federal, however the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
(j) Fair Value Measurements – The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the company has the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following table summarizes the valuation of the Trust’s securities at August 31, 2016 using fair value hierarchy:
Level 1(a) | Level 2(a) | Level 3(a) | Level 1(a) | Level 1(a) | ||||||||||||||||||||||||
Fund | Investments in Securities(b) | Investments in Securities(c) | Investments in Securities | Total | Futures Contracts - Liabilities(d) | Written Options | Total | |||||||||||||||||||||
California Tax-Free Income Fund | $ | — | $ | 84,925,094 | $ | — | $ | 84,925,094 | $ | — | $ | — | $ | — | ||||||||||||||
U.S. Government Securities Fund | — | 24,269,239 | — | 24,269,239 | — | — | — | |||||||||||||||||||||
Short-Term U.S. Government Bond Fund | — | 5,392,953 | — | 5,392,953 | — | — | — | |||||||||||||||||||||
The United States Treasury Trust Fund | — | 72,870,631 | — | 72,870,631 | — | — | — | |||||||||||||||||||||
S&P 500 Index Fund | 141,318,212 | — | 1,857 | (e) | 141,320,069 | (5,130 | ) | — | (5,130 | ) | ||||||||||||||||||
S&P MidCap Index Fund | 139,721,725 | — | — | 139,721,725 | (8,400 | ) | — | (8,400 | ) | |||||||||||||||||||
S&P SmallCap Index Fund | 54,738,534 | — | — | 54,738,534 | (9,940 | ) | — | (9,940 | ) | |||||||||||||||||||
Shelton Core Value Fund | 160,691,356 | — | 1,600,000 | (f) | 162,291,356 | — | (412,759 | ) | (412,759 | ) | ||||||||||||||||||
European Growth & Income Fund | 8,862,978 | — | — | 8,862,978 | — | — | — | |||||||||||||||||||||
Nasdaq-100 Index Fund | 309,835,267 | — | — | 309,835,267 | (2,375 | ) | — | (2,375 | ) | |||||||||||||||||||
Shelton Green Alpha Fund | 36,381,082 | — | — | 36,381,082 | — | — | — |
(a) | It is the Fund’s policy to recognize transfers between levels on the last day of the fiscal reporting period. There were no transfers in or out of Level 1, Level 2, and Level 3 as of FYE |
(b) | All publicly traded common stocks and preferred stocks held in the Funds are Level 1 securities. For a detailed break-out of equity securities by major industry classification, please refer to the Portfolio of Investments. |
(c) | All fixed income securities held in the Funds are Level 2 securities. For a detailed break-out of fixed income securities by type, please refer to the Portfolio of Investments. |
(d) | Represents variation margin on the last day of the reporting period. |
(e) | Rights |
(f) | Preferred Stock |
Level 3 Securities | S&P 500 Index Fund | Shelton Core Value Fund | ||||||
Beginning Balance | $ | 1,857 | $ | 1,700,000 | ||||
Net Purchases | — | — | ||||||
Net Sales | — | — | ||||||
Total Realized Gain (Loss) | — | — | ||||||
Change in Unrealized Appreciation (Depreciation) | — | (100,000 | ) | |||||
Accrued Interest | — | — | ||||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
Ending Balance | $ | 1,857 | $ | 1,600,000 |
52
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
Fair Value as of 8/31/16 | Valuation Techniques | Unobservable Input* | Input Values | Impact to valuation from an increase to input** | |
Amerityre Corp. 5% Preferred Conv.(a) | $1,600,000 | Market comparables and estimated recovery proceeds | Market quotes, yield quotes and option valuation | $0.80 - $0.85 | Changes in the market quotes and option valuation will result in direct and proportional changes in the value of the security |
* | Market quote on Amerityre common stock, five-year treasury yield and the option value of the conversion of preferred stock to common stock. |
** | Should the common stock rise over ten cents per share or fall below ten cents per share and maintain that level for a one-week period, a Pricing Committee meeting would be reconvened to evaluate the price valuation. |
(j) Disclosure about Derivative Instruments and Hedging Activities – The Funds have adopted enhanced disclosure regarding derivative and hedging activity intended to improve financial reporting of derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Nasdaq-100 Index Fund, Shelton Green Alpha Fund and European Growth & Income Fund can use Futures contracts and strategies for achieving the investment objectives.
Although the Funds’ primary risks are associated with changes in the stock market, there are other risks associated with the Funds. For the index funds, these risks generally apply to how well the Funds track the index. For example, the Funds invest in futures contracts to the extent that it holds cash in the portfolio. If these futures contracts do not track the index, the Fund’s performance relative to the respective index will change. For the non-indexed Funds, they may invest in futures contracts to the extent each Fund holds cash in the portfolio. If these futures contracts owned by each Fund do not perform well, the Funds’ performance will be impacted.
Under normal circumstances the Funds may follow a number of investment policies to achieve its objective. Losses involving futures can sometimes be substantial, in part because a relatively small price movement in a futures contract may result in an immediate and substantial loss for the Funds. In an effort to minimize this risk, the Funds will not use futures for speculative purposes or as leverage. It is the Funds’ policy to hold cash deposits equal or greater than the total market value of any futures position. The value of all futures and options contracts in which the Funds acquire an interest will not exceed 20% of current total assets.
At August 31, 2016, the number of open future contracts in the S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, and Nasdaq-100 Index Fund was 18, 15, 14, and 38, respectively. The Shelton Core Value Fund, European Growth & Income Fund and Shelton Green Alpha Fund held no futures contracts at August 31, 2016. Only current day’s variation margin is reported as an asset or liability within the statement of assets and liabilities.
The effect of derivative instruments on the Statements of Assets & Liabilities for the year ended August 31, 2016:
Derivatives Not Accounted for as Hedging Instruments | Variation Margin | |||
S&P 500 Index Fund – Equity contracts | $ | 5,130 | ||
S&P MidCap Index Fund – Equity contracts | $ | 8,400 | ||
S&P SmallCap Index Fund – Equity contracts | $ | 9,940 | ||
Nasdaq-100 Index Fund – Equity contracts | $ | 2,375 |
The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2016:
Derivatives Not Accounted for as Hedging Instruments | Realized Gain (Loss) on Futures Recognized in Income | Changes in Unrealized Appreciation (Depreciation) on Futures Recognized in Income | ||||||
S&P 500 Index Fund – Equity contracts | $ | 135,938 | $ | 79,738 | ||||
S&P MidCap Index Fund – Equity contracts | $ | (277,785 | ) | $ | 250,780 | |||
S&P SmallCap Index Fund – Equity contracts | $ | 12,852 | $ | 119,415 | ||||
Nasdaq-100 Index Fund – Equity contracts | $ | (3,917 | ) | $ | (55,630 | ) |
The previously disclosed derivative instruments outstanding as of August 31, 2016, and their effect on the Statement of Operations for the period ending August 31, 2016, serve as indicators of the volume of financial derivative activity for the company. The following table indicates the average volume for the period:
Derivatives Not Accounted for as Hedging Instruments | Average Notional Value | |||
S&P 500 Index Fund – Equity contracts | $ | 1,753,961 | ||
S&P MidCap Index Fund – Equity contracts | $ | 1,316,814 | ||
S&P SmallCap Index Fund – Equity contracts | $ | 1,502,209 | ||
Nasdaq-100 Index Fund – Equity contracts | $ | 5,498,885 |
Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
Shelton Capital Management (“Shelton Capital” or the “Advisor”), a California limited partnership, provides each Fund with management and administrative services pursuant to investment management and administration servicing agreements.
53
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
In accordance with the terms of the management agreement, the Advisor receives compensation at the following annual rates:
To $100 million in net assets | $100 million to $500 million in net assets | $500 million to $1 billion in net assets | In excess of $1 billion in net assets | |
California Tax-Free Income Fund | 0.50% | 0.45% | 0.40% | 0.40% |
U.S. Government Securities Fund | 0.50% | 0.45% | 0.40% | 0.40% |
U.S. Treasury Trust | 0.50% | 0.45% | 0.40% | 0.40% |
Short-Term U.S. Government Bond Fund | 0.50% | 0.50% | 0.45% | 0.40% |
S&P 500 Index Fund | 0.25% | 0.25% | 0.25% | 0.25% |
S&P MidCap Index Fund | 0.40% | 0.40% | 0.40% | 0.40% |
S&P SmallCap Index Fund | 0.50% | 0.50% | 0.45% | 0.40% |
Shelton Core Value Fund | 0.50% | 0.50% | 0.45% | 0.40% |
European Growth & Income Fund | 0.85% | 0.85% | 0.85% | 0.85% |
Nasdaq-100 Index Fund | 0.50% | 0.50% | 0.45% | 0.40% |
Shelton Green Alpha Fund(a) | 1.00% | 1.00% | 1.00% | 1.00% |
(a) | The Advisor pays Green Alpha Advisors a sub-advisor fee of 0.50% |
The Advisor contractually agreed to reduce total operating expense to certain Funds of the Trust. This additional contractual reimbursement is effective until January 2, 2016, unless renewed and is subject to recoupment within three fiscal years following reimbursement. Recoupment is limited to the extent the reimbursement does not exceed any applicable expense limit and the effect of the reimbursement is measured after all ordinary operating expenses are calculated; any such reimbursement is subject to the Board of Trustees’ review and approval. Reimbursements from the Advisor to affected Funds, and the voluntary expense limits, for the period ended August 31, 2016 are as follows:
Voluntary Expense Limitation | ||||
Fund | Reimburse | Direct Shares | K Shares | Expiration |
U.S. Government Securities Fund | 0.08% | 0.74% | 1.24% | 1/2/17 |
Short-Term U.S. Government Bond Fund | 0.36% | 0.59% | 1.09% | 1/2/17 |
The United States Treasury Trust(a) | 0.49% | 0.53% | 1.03% | 1/2/17 |
S&P 500 Index Fund | 0.11% | 0.36% | 0.86% | 1/2/17 |
S&P MidCap Index Fund | 0.04% | 0.58% | 1.08% | 1/2/17 |
S&P SmallCap Index Fund | 0.04% | 0.74% | 1.24% | 1/2/17 |
European Growth & Income Fund | 0.30% | 1.00% | 1.50% | 1/2/17 |
Nasdaq-100 Index Fund | 0.25% | 0.49% | 0.99% | 1/2/17 |
(a) | The Advisor is waiving fees to keep the yield non-negative for the United States Treasury Trust. |
At August 31, 2016, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,269,595. The Advisor may recapture a portion of the above amount no later than the dates as stated below.
Fund | Expires 8/31/17 | Expires 8/31/18 | Expires 8/31/19 | Total | ||||||||||||
U.S. Government Securities Fund | $ | 40,772 | $ | 24,827 | $ | 20,081 | $ | 85,680 | ||||||||
Short-Term U.S. Government Bond Fund | 38,985 | 26,812 | 24,167 | 89,964 | ||||||||||||
The United States Treasury Trust | 698,141 | 665,667 | 362,655 | 1,726,463 | ||||||||||||
S&P 500 Index Fund | 173,213 | 155,206 | 145,091 | 473,510 | ||||||||||||
S&P MidCap Index Fund | 84,423 | 62,001 | 52,995 | 199,419 | ||||||||||||
S&P SmallCap Index Fund | 42,358 | 20,187 | 18,440 | 80,985 | ||||||||||||
European Growth & Income Fund | 43,289 | 31,088 | 27,667 | 102,044 | ||||||||||||
Nasdaq-100 Index Fund | 258,331 | 517,857 | 705,792 | 1,481,980 | ||||||||||||
Green Alpha Fund | 29,550 | 0 | 29,550 | |||||||||||||
Total | $ | 1,409,062 | $ | 1,503,645 | $ | 1,356,888 | $ | 4,269,595 |
A Fund must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon Board of trustee review and approval prior to the time the reimbursement is initiated.
As compensation for administrative duties not covered by the management agreement, Shelton Capital receives an administration fee, which was revised on January 1, 2011. The administration fee is based on assets held, in aggregate, by the Shelton Funds. The fee rates are 0.10% on the first $500 million, 0.08% on the next $500 million, and 0.06% on combined assets over $1 billion. Administration fees are disclosed on the Statement of Operations.
Certain officers and trustees of the Trust are also partners of Shelton Capital. Teresa Axelson has served as the Chief Compliance Officer (“CCO”) of the Trust since November 2011. Ms. Axelson is also employed by Shelton Capital, the Advisor and Administrator to the Trust. The Trust is responsible for the portion of her salary allocated to her duties as the CCO of the Trust during her employment, and Shelton Capital is reimbursed by the Trust for this portion of her salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually.
Shelton Funds have adopted a Distribution Plan (the “Plan”), as amended August 1, 2012, pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of each Fund of the Shelton Funds pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Class K Shares of the Funds will pay the Distributor a fee at an annual rate of 0.25%, payable monthly, of the daily net assets attributable to such Fund’s Class K Shares. The Plan was amended to eliminate the Class A Shares. All A Share accounts were liquidated effective December 6, 2013.
54
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
Shelton Funds adopted a Shareholder Services Plan (the “Services Plan”), whereby the K Shares of each Fund of the Shelton Funds pay RFS Partners, the Funds’ Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning K Shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund.
For the period ended August 31, 2016, the following were paid by the Class K Shares of each Fund of the Trust:
Fund | Class K 12b-1 Fees | Class K Shareholder Service Fees | ||||||
U.S. Government Securities Fund | $ | 12,854 | $ | 12,854 | ||||
Short-Term U.S. Government Bond Fund | 3,654 | 3,654 | ||||||
S&P 500 Index Fund | 19,827 | 19,827 | ||||||
S&P MidCap Index Fund | 12,471 | 12,471 | ||||||
S&P SmallCap Index Fund | 23,511 | 23,511 | ||||||
Shelton Core Value Fund | 14,578 | 14,578 | ||||||
European Growth & Income Fund | 9,663 | 9,663 | ||||||
Nasdaq-100 Index fund | 40,465 | 40,465 | ||||||
United States Treasury Trust | — | — |
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term instruments for the period ended August 31, 2016 were as follows:
Fund | Purchases | Sales | Purchases (Excluding U.S. Government Obligations) | Sales (Excluding U.S. Government Obligations) | ||||||||||||
California Tax-Free Income Fund | $ | 16,143,989 | $ | 19,482,467 | $ | 16,143,989 | $ | 19,482,467 | ||||||||
U.S. Government Securities Fund | 4,283,059 | 4,896,602 | — | — | ||||||||||||
Short-Term U.S. Government Bond Fund | 3,117,172 | 4,255,111 | — | — | ||||||||||||
S&P 500 Index Fund | 697,282 | 2,922,592 | 697,282 | 2,922,592 | ||||||||||||
S&P MidCap Index Fund | 15,024,028 | 30,944,766 | 15,024,028 | 30,944,766 | ||||||||||||
S&P SmallCap Index Fund | 6,043,088 | 6,517,382 | 6,043,088 | 6,517,382 | ||||||||||||
Shelton Core Value Fund | 35,647,296 | 71,124,418 | 35,647,296 | 71,124,418 | ||||||||||||
European Growth & Income Fund | 42,375 | 634,248 | 42,375 | 634,248 | ||||||||||||
Nasdaq-100 Index Fund | 53,078,418 | 19,602,535 | 53,078,418 | 19,602,535 | ||||||||||||
Shelton Green Alpha Fund | 11,536,506 | 4,052,478 | 11,536,506 | 4,052,478 |
Note 4 – OPTIONS WRITTEN
Written Options Contracts. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium and the amount for effecting a closing purchase transaction, including brokerage commission, is also treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund. A risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised.
Fair Value of Derivative Instruments — The fair value of derivative instruments for the Funds as of the year ended August 31, 2016, was as follows:
Derivatives not Accounted for as Hedging Instruments | Liability Derivatives Statement of Assets and Liabilities Location | Fair Value |
Equity Contracts | Written options, at value | $ 412,759 |
The effect of derivative instruments on the Funds’ Statement of Operations for the year ended August 31, 2016, was as follows:
Derivatives not Accounted for as Hedging Instruments | Location of Gains/(Loss) on | Realized Gain/ (Loss) on Derivatives Recognized in Income | Change in (Loss) On Derivatives Recognized In Income |
Equity Contracts | Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) on: Written option contracts | $ 395,040 | $ (30,046) |
55
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
Volume of derivative instruments held by the Funds during the year ended August 31, 2016, was as follows:
Derivative Type | Unit Of Measurement | Average** |
Written Option | Contracts | $ (352,713) |
** | Shelton Core Value Fund began writing options calls in March 2016. This average represents the month end trading average from March 2016-August 2016. |
A summary of option contracts written by the Shelton Core Value Fund during the fiscal year ended August 31, 2016 was as follows:
Written option activity for the period was as follows: | Number of Contracts | Amount of Premiums | ||||||
Options outstanding as of August 31, 2015 | — | $ | — | |||||
Options written | (20,709 | ) | (1,599,493 | ) | ||||
Options closed or expired | 14,101 | 856,616 | ||||||
Options exercised | 4,194 | 360,164 | ||||||
Options outstanding as of August 31, 2016 | (2,414 | ) | (382,713 | ) |
Note 5 - TAX CHARACTER
Reclassifications: Accounting principles generally accepted in the United States of America require certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended August 31, 2016, permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards and treatment of accretion of discount have been reclassified to paid-in capital. The reclassifications were as follows:
Increase (Decrease) Paid-In Capital | Increase (Decrease) Undistributed Net Investment Income (Loss) | Increase (Decrease) Accumulated | ||||||||||
U.S. Government Securities Fund | $ | — | $ | 9,589 | $ | (9,589 | ) | |||||
Short-Term U.S. Government Bond Fund | (2,311 | ) | 2,588 | (277 | ) | |||||||
S&P 500 Index Fund | — | (248 | ) | 248 | ||||||||
S&P Mid Cap Index Fund | 1,268,508 | (81,632 | ) | (1,186,876 | ) | |||||||
S&P Small Cap Index Fund | — | 55,621 | (55,621 | ) | ||||||||
European Growth & Income Fund | (9,647 | ) | 9,656 | (9 | ) | |||||||
Shelton Green Alpha Fund | (73,541 | ) | 73,541 | — |
The Shelton Green Alpha Fund offset net operating losses of $73,541 to Paid-In-Capital in the amounts reclassed above.
Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2016 was as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Capital Loss Carry Forwards | Unrealized Appreciation (Depreciation) | Post October and Other Losses (b) | Total Distributable Earnings | |||||||||||||||||||
California Tax-Free Income Fund | $ | 106,084 | $ | 234,699 | $ | — | $ | 6,106,827 | $ | — | $ | 6,447,610 | ||||||||||||
U.S. Government Securities Fund | 59,581 | — | (449,708 | ) | 1,005,450 | — | 615,323 | |||||||||||||||||
Short-Term U.S. Government Bond Fund | 1,250 | 1,237 | — | 16,200 | — | 18,687 | ||||||||||||||||||
The United States Treasury Trust | — | — | (2,154 | ) | — | (2,154 | ) | |||||||||||||||||
S&P 500 Index Fund | 955,739 | 1,037,025 | — | 78,365,764 | — | 80,358,528 | ||||||||||||||||||
S&P Mid Cap Index Fund | 24,965 | 10,145,474 | — | 56,258,121 | 66,428,560 | |||||||||||||||||||
S&P Small Cap Index Fund | 206,917 | 2,153,388 | — | 16,025,762 | — | 18,386,067 | ||||||||||||||||||
Shelton Core Value Fund | 1,202,248 | 19,583,795 | — | 69,886,133 | — | 90,672,176 | ||||||||||||||||||
European Growth & Income Fund | 42,643 | — | (1,455,934 | ) | 984,689 | — | (428,602 | ) | ||||||||||||||||
Nasdaq-100 Index Fund | 535,666 | — | (1,588,203 | ) | 75,893,933 | — | 74,841,396 | |||||||||||||||||
Green Alpha Fund | — | — | (347,449 | ) | 1,103,695 | — | 756,246 |
The difference between book basis and tax basis unrealized appreciation/(depreciation) is attributable primarily to the realization of unrealized gains/(losses) on future contracts for tax purposes, wash sales, the treatment of accretion of discounts, tax equalization, and certain other investments.
Elective Deferrals: The Funds have not elected to defer capital losses recognized during the period November 1, 2015-August 31, 2016 to the period ending August 31, 2017.
The Funds have not elected to defer ordinary losses to the period ending August 31, 2017.
56
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
Capital Losses: Capital loss carry forwards, as of August 31, 2016, available to offset future capital gains, if any, are as follows:
Expiring | U.S. Government Securities Fund | United States Treasury Trust Fund | European Growth & Income Fund | Nasdaq-100 Index Fund | Shelton Green Alpha Fund | |||||||||||||||
2017 | $ | 62,570 | $ | — | $ | $ | 385,355 | $ | — | |||||||||||
2018 | 141,867 | 124,746 | 596,391 | |||||||||||||||||
2019 | 245,271 | 205,587 | ||||||||||||||||||
Long Term with No Expiration | — | 1,123,707 | 606,457 | |||||||||||||||||
Short Term with No Expiration | — | 2,154 | 1,894 | 347,449 | ||||||||||||||||
Total | $ | 449,708 | $ | 2,154 | $ | 1,455,934 | $ | 1,588,203 | $ | 347,449 |
$9,647 of capital loss carry forwards expired at August 31, 2016 for European Growth & Income Fund.
Distributions to Shareholders: Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund.
The tax character of distributions paid during the years ended August 31, 2016 and 2015was as follows:
Return of Capital | Ordinary | Long-Term Capital Gains (a) | Exempt-Interest Dividends | Total Distributions | |||||||||||||||||
California Tax-Free Income Fund | 2015 | $ | — | $ | 27,789 | $ | 339,803 | $ | 2,263,713 | $ | 2,631,305 | ||||||||||
| 2016 | — | — | 2,175,617 | 2,175,617 | ||||||||||||||||
U.S. Government Securities Fund | 2015 | — | 339,710 | — | — | 339,710 | |||||||||||||||
| 2016 | — | 304,564 | — | — | 304,564 | |||||||||||||||
Short-Term U.S. Government Bond Fund | 2015 | — | — | 2,313 | — | 2,313 | |||||||||||||||
| 2016 | — | 9,179 | — | — | 9,179 | |||||||||||||||
The United States Treasury Trust | 2015 | — | — | — | — | — | |||||||||||||||
| 2016 | — | — | — | — | — | |||||||||||||||
S&P 500 Index Fund | 2015 | — | 2,575,228 | 260,414 | — | 2,835,642 | |||||||||||||||
| 2016 | — | 2,597,816 | 3,233,627 | — | 5,831,443 | |||||||||||||||
S&P Mid Cap Index Fund | 2015 | — | 1,781,040 | 11,622,126 | — | 13,403,166 | |||||||||||||||
| 2016 | — | 1,309,627 | 22,196,144 | — | 23,505,771 | |||||||||||||||
S&P Small Cap Index Fund | 2015 | — | 455,642 | 3,613,614 | — | 4,069,256 | |||||||||||||||
| 2016 | — | 408,132 | 4,842,659 | — | 5,250,791 | |||||||||||||||
Shelton Core Value Fund | 2015 | — | 3,470,591 | — | — | 3,470,591 | |||||||||||||||
| 2016 | — | 3,534,457 | 2,624,819 | — | 6,159,276 | |||||||||||||||
European Growth & Income Fund | 2015 | — | 264,097 | — | — | 264,097 | |||||||||||||||
| 2016 | — | 234,972 | — | — | 234,972 | |||||||||||||||
Nasdaq-100 Index Fund | 2015 | — | 1,245,482 | — | — | 1,245,482 | |||||||||||||||
| 2016 | — | 2,545,230 | — | — | 2,545,230 | |||||||||||||||
Green Alpha Fund | 2015 | — | — | 783 | — | 783 | |||||||||||||||
| 2016 | — | — | — | — | — |
(a) | The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the year ended August 31, 2016. |
Note 6 - OFFSETTING OF FINANCIAL INSTRUMENTS AND DERIVATIVE ASSETS AND LIABILITIES
The following is a summary of financial and derivative instruments and collateral received and pledged in connection with such arrangements.
Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged/Received | Net Amount | ||||||||||||||||||||
S&P 500 Index Fund: | Assets | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
— | — | — | — | — | — | ||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Future Contracts | $ | 5,130 | $ | — | $ | 5,130 | $ | — | $ | 5,130 | $ | — | |||||||||||||
5,130 | — | 5,130 | — | 5,130 | — |
57
Shelton Funds | Notes to Financial Statements (Continued) | August 31, 2016 |
Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged/Received | Net Amount | ||||||||||||||||||||
S&P MidCap Index Fund: | Assets | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
— | — | — | — | — | — | ||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||
Future Contracts | $ | 8,400 | $ | — | $ | 8,400 | $ | — | $ | 8,400 | $ | — | |||||||||||||
8,400 | — | 8,400 | — | 8,400 | — | ||||||||||||||||||||
S&P SmallCap Index Fund: | Assets | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
— | — | — | — | — | — | ||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Future Contracts | $ | 9,940 | $ | — | $ | 9,940 | $ | — | $ | 9,940 | $ | — | |||||||||||||
9,940 | — | 9,940 | — | 9,940 | — | ||||||||||||||||||||
Nasdaq-100 Index Fund: | Assets | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
— | — | — | — | — | — | ||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||
Future Contracts | $ | 2,375 | $ | — | $ | 2,375 | $ | — | $ | 2,375 | $ | — | |||||||||||||
2,375 | — | 2,375 | — | 2,375 | — |
Amounts relate to master netting agreements and collateral agreements which have been determined by the company to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the statement of assets and liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.
Note 7 – RECENT ACCOUNTING PRONOUNCEMENT
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosure for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)”. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify but do not utilize, the NAV practical expedient. The amendments in the ASU are effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Funds’ financial statements and related disclosures.
Note 8 – SUBSEQUENT EVENTS
In preparing the financial statements as of August 31, 2016, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of issuance of the financial statements, and has determined that there were no subsequent events requiring recognition or disclosure.
58
Report of Independent Registered Public Accounting Firm |
To the Shareholders and Board of Trustees
Shelton Funds
San Francisco, California
We have audited the accompanying statements of assets and liabilities of California Tax-Free Income Fund, U.S. Government Securities Fund, Short-term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Nasdaq-100 Index Fund, and Shelton Green Alpha Fund, each a series of shares of beneficial interest of the Shelton Funds (the “Trust”), including the portfolios of investments, as of August 31, 2016 and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and with respect to Shelton Green Alpha Fund, the financial highlights for each of the three years in the period then ended and for the period March 12, 2013 (commencement of operations) to August 31, 2013. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmations of securities owned as of August 31, 2016, by correspondence with the custodian and brokers or through other appropriate audit procedures where replies from brokers were unable to be obtained. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of California Tax-Free Income Fund, U.S. Government Securities Fund, Short-term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Nasdaq-100 Index Fund and Shelton Green Alpha Fund as of August 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and with respect to Shelton Green Alpha Fund, the financial highlights for each of the three years in the period then ended and for the period March 12, 2013 (commencement of operations) to August 31, 2013, in conformity with accounting principles generally accepted in the United States of America.
TAIT, WELLER & BAKER LLP |
Philadelphia, Pennsylvania
October 28, 2016
59
Fund Holdings (Unaudited) |
The Fund holdings shown in this report are as of February 29, 2016. Holdings are subject to change at any time, so holdings shown in this report may not reflect current Fund holdings. The Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room, 100 F. Street N.E., Room 1580, Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC- 0330. The information filed in the form N-Q also may be obtained by calling (800) 955-9988.
Proxy Voting Policies, Procedures and Voting Records (Unaudited) |
The Funds’ Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds use to determine how to vote proxies relating to portfolio securities, along with each Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2015, is available upon request, at no charge, at the phone number below, or on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of the Shelton Funds. It is authorized for distribution only if preceded or accompanied by a current Shelton Funds prospectus. Additional copies of the prospectus may be obtained by calling (800) 955-9988 or can be downloaded from the Funds’ website at www.sheltoncap.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds.
60
Board of Trustees and Executive Officers (Unaudited) |
Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Name | Address | Year of Birth | Position Held with the Trust | Length of Time Served |
Stephen C. Rogers | 1050 17th Street, Denver, CO | 1966 | Chairman and Trustee | Since August, 1998 |
Kevin T. Kogler | 1050 17th Street, Denver, CO | 1966 | Trustee | Since May, 2006 |
Marco L. Quazzo | 1050 17th Street, Denver, CO | 1962 | Trustee | Since August, 2014 |
Stephen H. Sutro | 1050 17th Street, Denver, CO | 1969 | Trustee | Since May, 2006 |
William P. Mock | 1050 17th Street, Denver, CO | 1966 | Treasurer | Since February, 2010 |
Teresa E. Axelson | 1050 17th Street, Denver, CO | 1947 | Chief Compliance Officer, | Since November, 2011 |
Each Trustee oversees the Trust’s eleven Funds. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below:
Stephen C. Rogers* | Chief Executive Officer, Shelton Capital Management, 1999 to present. |
Kevin T. Kogler | President & Founder of MicroBiz, LLC, 2012 to present; Principal, Robertson Piper Software Group, 2006 to 2012; Senior Vice President, Investment Banking, Friedman, Billings Ramsey, 2003 to 2006. |
Marco L. Quazzo | Principal, Bartko Zankel Bunzel & Miller, March 2015-Present; Partner, Barg Coffin Lewis & Trapp LLP (law firm), 2008 to March 2015. |
Stephen H. Sutro | Managing Partner, Duane Morris, LLP (law firm) 2014 to present; Partner, Duane Morris LLP (law firm), 2003 to present. |
William P. Mock | Portfolio Manager, Shelton Capital Management, 2010 to present; Portfolio Manager, ETSpreads, 2007 to present. |
Teresa E. Axelson | Chief Compliance Officer, Shelton Capital Management, 2011 to present; Secretary, 2012 to present; Vice President-Secretary, Chief Compliance Officer, Securities Management and Research, Inc., SM&R Investments, Inc. and American National Investment Inc. 1968-2010. |
Additional information about the Trustees may be found in the SAI, which is available without charge by calling (800) 955-9988. |
* | Trustee deemed to be an “interested person” of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of Shelton Capital Management, the Trust’s Advisor and Administrator. |
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1050 17th St, Ste 1710
Denver, CO 80265
ITEM 2. | CODE OF ETHICS. |
(a) | The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer. |
(c) | N/A |
(d) | N/A |
(f) | Pursuant to Item 12(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officer and principal financial and accounting officer. A copy of the code of ethics is available upon request, at no charge, at 1(800) 955-9988. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
(a)(1) | Registrant does not have an audit committee financial expert serving on its audit committee. |
(a)(2) | N/A |
(a)(3) | The audit committee has determined that no single independent trustee meets the criteria of "audit committee financial expert", but the collective skills of the committee are sufficient to satisfy the requirements. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) | Audit Fees |
(b) | Audit-Related Fees |
(c) | Tax Fees |
(d) | All Other Fees |
(e)(1) | The Registrant's audit committee is directly responsible for approving the services to be provided by the auditors, including: |
(i) | pre-approval of all audit and audit-related services; |
(ii) | pre-approval of all non-audit related services to be provided to the Registrant by the auditors; |
(iii) | pre-approval of all non-audit related services to be provided to the Registrant by the auditors to the Registrant 's investment adviser or to any entity that controls, is controlled by or is under common control with the Registrant 's investment adviser and that provides ongoing services to the Registrant where the non-audit services relate directly to the operations or financial reporting of the Registrant; and |
(e)(2) | All of the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 were pre-approved by the audit committee. |
(f) | N/A |
(g) | The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the Registrant and the Registrant's investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $0 for the fiscal year ended August 31, 2016 and $0 for the fiscal year ended August 31, 2015. |
(h) | N/A |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
N/A |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Included under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
N/A |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
N/A |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVEESTMENT COMPANY AND AFFILIATED PURCHASERS. |
N/A |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
ITEM 12. | EXHIBITS |
(a)(1) | Code of Ethics attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(b) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SHELTON FUNDS | ||
By | /s/ Stephen C. Rogers | |
Stephen C. Rogers, Chairman | ||
Date: October 31, 2016 |
By | /s/ Stephen C. Rogers | |
Stephen C. Rogers, Chairman | ||
Date: October 31, 2016 | ||
By | /s/ William P. Mock | |
William P. Mock, Treasurer | ||
Date: October 31, 2016 |